Std. deviation
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Annualized daily-return volatility
Trade the SPY · Risk Assessment
Daily historicals → volatility, Sharpe, max drawdown, and capture vs the market.
Enter a ticker to generate a report.
Sharpe ratio
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Excess return per unit of risk
Upside capture
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Vs benchmark on up days
Downside capture
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Vs benchmark on down days
Max drawdown
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Peak to trough on close
Capture vs SPY
Upside
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Downside
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- Standard deviation
- Sample standard deviation of daily close-to-close returns, annualized with √252.
- Sharpe ratio
- Annualized (mean daily return − risk-free / 252) ÷ daily σ. Risk-free default is 4.5%.
- Upside / downside capture
- Sum of ticker returns on days the benchmark rose (fell), divided by the benchmark’s return on those days. 100% moves with the market; below 100% downside capture means it fell less than the benchmark.
- Max drawdown
- Largest peak-to-trough decline in daily close over the selected period.