Return-based risk computed in the open analytics core (quantlib.risk) from 133 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 2.13% | Sharpe | −1.97 |
| Sortino | −2.34 |
Only 6 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
| Max Drawdown | −2.48% | Ulcer Index | 1.29 |
| MTD | −0.75% | QTD | −0.75% |
| YTD | −2.20% | Since inception | −2.20% |
Price-return basis — dividends aren't included for this symbol yet. Re-pull prices to populate the adjusted close and switch to total return.
| Skewness | −0.74 | Excess Kurtosis | 0.59 |
| Omega (θ=0) | 0.72 | Tail Ratio | 0.59 |
| Gain/Pain | −0.28 | Hit Rate | 50.38% |
| Win/Loss | 0.66 | Upside Potential | 0.39 |
Volatility (annualized %, right) and Sharpe (ratio, left), each over a trailing 63-period window from quantlib.performance.rolling.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -0.26% | -0.41% | -0.24% | -0.33% |
| CVaR (ES) | -0.35% | -0.43% | -0.29% | -0.37% |
| VaR (Cornish-Fisher) | — | — | -0.26% | -0.39% |
Signed daily quantiles (a 5% loss is −5%); CVaR ≤ VaR ≤ 0. The Cornish-Fisher row adjusts the Gaussian VaR for skewness and excess kurtosis (fat tails), so it has no historical counterpart.
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -2.48% | 2026-01-06 | 2026-07-29 | ongoing | 130 | — |
Each peak-to-recovery underwater episode, worst depth first (top 1). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
