Solution - Risk Metrics#
# Output from previous execution
| SPY | VEA | UPRO | GLD | USO | FXE | BTC | HYG | IEF | TIP | SHV | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Date | |||||||||||
| 2025-06-23 | 1.0% | 0.8% | 3.0% | 0.3% | -8.1% | 0.6% | 2.2% | 0.2% | 0.3% | 0.1% | 0.0% |
| 2025-06-24 | 1.1% | 1.3% | 3.3% | -1.6% | -4.5% | 0.3% | 0.4% | 0.3% | 0.3% | 0.1% | 0.0% |
| 2025-06-25 | 0.1% | -0.5% | 0.2% | 0.3% | 0.4% | 0.4% | 1.2% | -0.0% | 0.0% | 0.1% | 0.0% |
| 2025-06-26 | 0.8% | 1.1% | 2.3% | -0.1% | 0.4% | 0.4% | -0.4% | 0.3% | 0.4% | 0.3% | 0.0% |
| 2025-06-27 | 0.5% | 0.6% | 1.3% | -1.8% | -0.4% | 0.0% | 0.1% | -0.0% | -0.3% | -0.1% | 0.0% |
# Output from previous execution
| mean | vol | skewness | kurtosis | |
|---|---|---|---|---|
| SPY | 15.3% | 18.9% | -0.30 | 14.24 |
| VEA | 9.7% | 17.5% | -0.86 | 16.12 |
| UPRO | 38.8% | 56.5% | -0.38 | 14.99 |
| GLD | 12.9% | 14.3% | -0.15 | 2.70 |
| USO | 5.0% | 38.6% | -1.28 | 16.30 |
| FXE | 1.6% | 7.4% | 0.16 | 1.35 |
| BTC | 79.3% | 69.8% | 0.03 | 6.15 |
| HYG | 4.6% | 8.7% | 0.13 | 26.42 |
| IEF | 1.3% | 6.9% | 0.20 | 3.20 |
| TIP | 2.8% | 6.0% | 0.36 | 14.86 |
| SHV | 2.2% | 0.3% | 0.66 | 3.28 |
# Output from previous execution
| Max Drawdown | Peak | Bottom | Recover | Duration (to Recover) | |
|---|---|---|---|---|---|
| USO | -86.8% | 2018-10-03 | 2020-04-28 | NaT | NaT |
| BTC | -83.0% | 2017-12-18 | 2018-12-14 | 2020-11-30 00:00:00 | 1078 days 00:00:00 |
| UPRO | -76.8% | 2020-02-19 | 2020-03-23 | 2021-01-08 00:00:00 | 324 days 00:00:00 |
| VEA | -35.7% | 2018-01-26 | 2020-03-23 | 2020-11-16 00:00:00 | 1025 days 00:00:00 |
| SPY | -33.7% | 2020-02-19 | 2020-03-23 | 2020-08-10 00:00:00 | 173 days 00:00:00 |
| FXE | -26.5% | 2018-02-01 | 2022-09-27 | NaT | NaT |
| IEF | -23.9% | 2020-08-04 | 2023-10-19 | NaT | NaT |
| HYG | -22.0% | 2020-02-20 | 2020-03-23 | 2020-11-04 00:00:00 | 258 days 00:00:00 |
| GLD | -22.0% | 2020-08-06 | 2022-09-26 | 2024-03-04 00:00:00 | 1306 days 00:00:00 |
| TIP | -14.5% | 2021-11-09 | 2023-10-06 | NaT | NaT |
| SHV | -0.5% | 2020-04-07 | 2022-06-14 | 2022-10-07 00:00:00 | 913 days 00:00:00 |
# Output from previous execution
# Output from previous execution
| VaR (0.05) | CVaR (0.05) | |
|---|---|---|
| SPY | -1.76% | -2.90% |
| VEA | -1.57% | -2.56% |
| UPRO | -5.28% | -8.70% |
| GLD | -1.44% | -2.04% |
| USO | -3.54% | -5.93% |
| FXE | -0.73% | -0.96% |
| BTC | -6.25% | -9.80% |
| HYG | -0.71% | -1.27% |
| IEF | -0.68% | -0.95% |
| TIP | -0.53% | -0.86% |
| SHV | -0.02% | -0.03% |
# Output from previous execution
| quantile 0.05 | |
|---|---|
| BTC | -6.2% |
| UPRO | -5.3% |
| USO | -3.5% |
| SPY | -1.8% |
| VEA | -1.6% |
| GLD | -1.4% |
| FXE | -0.7% |
| HYG | -0.7% |
| IEF | -0.7% |
| TIP | -0.5% |
| SHV | -0.0% |
# Output from previous execution
| mean | standard error | mean as fraction of quantile | |
|---|---|---|---|
| SPY | 0.06% | 0.03% | -3.44% |
| VEA | 0.04% | 0.02% | -2.45% |
| UPRO | 0.15% | 0.08% | -2.92% |
| GLD | 0.05% | 0.02% | -3.55% |
| USO | 0.02% | 0.05% | -0.56% |
| FXE | 0.01% | 0.01% | -0.87% |
| BTC | 0.31% | 0.10% | -5.04% |
| HYG | 0.02% | 0.01% | -2.59% |
| IEF | 0.00% | 0.01% | -0.73% |
| TIP | 0.01% | 0.01% | -2.07% |
| SHV | 0.01% | 0.00% | -47.35% |
# Output from previous execution
| daily | monthly | |||||
|---|---|---|---|---|---|---|
| SPY corr | SPY cov | SPY beta | SPY corr | SPY cov | SPY beta | |
| SPY | 100.00% | 0.01% | 100.00% | 100.00% | 0.21% | 100.00% |
| VEA | 86.51% | 0.01% | 80.34% | 86.69% | 0.18% | 86.13% |
| UPRO | 99.89% | 0.04% | 299.36% | 99.56% | 0.66% | 308.90% |
| GLD | 8.66% | 0.00% | 6.56% | 12.69% | 0.02% | 10.42% |
| USO | 30.10% | 0.01% | 61.63% | 32.62% | 0.17% | 80.14% |
| FXE | 14.17% | 0.00% | 5.54% | 31.23% | 0.03% | 13.60% |
| BTC | 25.09% | 0.01% | 92.96% | 34.22% | 0.37% | 172.43% |
| HYG | 78.16% | 0.01% | 36.00% | 83.25% | 0.09% | 40.88% |
| IEF | -13.15% | -0.00% | -4.80% | 18.70% | 0.02% | 7.90% |
| TIP | 5.96% | 0.00% | 1.90% | 55.73% | 0.04% | 18.40% |
| SHV | -6.19% | -0.00% | -0.09% | 1.89% | 0.00% | 0.07% |
# Output from previous execution
| daily | monthly | |||||||
|---|---|---|---|---|---|---|---|---|
| mean | vol | skewness | kurtosis | mean | vol | skewness | kurtosis | |
| SPY | 0.00 | 0.01 | -0.30 | 14.24 | 0.01 | 0.05 | -0.48 | 0.39 |
| VEA | 0.00 | 0.01 | -0.86 | 16.12 | 0.01 | 0.05 | -0.34 | 1.32 |
| UPRO | 0.00 | 0.04 | -0.38 | 14.99 | 0.03 | 0.14 | -0.53 | 0.94 |
| GLD | 0.00 | 0.01 | -0.15 | 2.70 | 0.01 | 0.04 | 0.43 | -0.30 |
| USO | 0.00 | 0.02 | -1.28 | 16.30 | 0.01 | 0.11 | -1.53 | 7.27 |
| FXE | 0.00 | 0.00 | 0.16 | 1.35 | 0.00 | 0.02 | 0.32 | -0.26 |
| BTC | 0.00 | 0.04 | 0.03 | 6.15 | 0.07 | 0.23 | 0.57 | 0.09 |
| HYG | 0.00 | 0.01 | 0.13 | 26.42 | 0.00 | 0.02 | -0.94 | 4.94 |
| IEF | 0.00 | 0.00 | 0.20 | 3.20 | 0.00 | 0.02 | -0.01 | -0.04 |
| TIP | 0.00 | 0.00 | 0.36 | 14.86 | 0.00 | 0.02 | -0.82 | 3.47 |
| SHV | 0.00 | 0.00 | 0.66 | 3.28 | 0.00 | 0.00 | 0.36 | -1.21 |