Struct RiskSummary 

#[non_exhaustive]
pub struct RiskSummary {

    pub var_95: f64,
    pub var_99: f64,
    pub parametric_var_95: f64,
    pub cvar_95: f64,
    pub cvar_99: f64,
    pub parametric_cvar_95: f64,
    pub omega: f64,
    pub kelly: f64,
    pub sharpe: Option<f64>,
    pub sortino: Option<f64>,
    pub calmar: Option<f64>,
    pub beta: Option<f64>,
    pub max_drawdown: f64,
    pub max_drawdown_recovery_periods: Option<u64>,
    pub ulcer_index: f64,
    pub information_ratio: Option<f64>,
    pub tracking_error: Option<f64>,
}

Comprehensive risk summary for a symbol.

Obtain via Ticker::risk.

Fields (Non-exhaustive)

Non-exhaustive structs could have additional fields added in future. Therefore, non-exhaustive structs cannot be constructed in external crates using the traditional Struct { .. } syntax; cannot be matched against without a wildcard ..; and struct update syntax will not work.

var_95: f64

1-day historical Value at Risk at 95% confidence (expressed as positive loss fraction)

var_99: f64

1-day historical Value at Risk at 99% confidence

parametric_var_95: f64

1-day parametric VaR at 95% confidence (assumes normally distributed returns)

cvar_95: f64

1-day historical Conditional VaR (Expected Shortfall) at 95% confidence — the average loss in the worst 5% of historical periods.

cvar_99: f64

1-day historical Conditional VaR at 99% confidence.

parametric_cvar_95: f64

1-day parametric Conditional VaR at 95% confidence (assumes normally distributed returns).

omega: f64

Omega Ratio at a 0.0 threshold: probability-weighted ratio of gains to losses over the full return distribution. f64::MAX when there are no negative-return periods.

kelly: f64

Kelly Criterion: optimal fraction of capital to risk, treating each positive-return period as a “win” and each negative-return period as a “loss”. f64::MAX when there are no losing periods and wins are positive (unbounded edge).

sharpe: Option<f64>

Annualised Sharpe Ratio (risk-free rate = 0, 252 trading days/year). None when fewer than 2 periods or zero volatility.

sortino: Option<f64>

Annualised Sortino Ratio (penalises only downside volatility). None when fewer than 2 periods or zero downside deviation.

calmar: Option<f64>

Calmar Ratio (annualised return / max drawdown). None when max drawdown is zero.

beta: Option<f64>

Beta vs benchmark. None when no benchmark is provided or data is insufficient.

max_drawdown: f64

Maximum drawdown as a positive fraction (e.g., 0.30 = 30%)

max_drawdown_recovery_periods: Option<u64>

Number of trading periods to recover from the maximum drawdown. None when no recovery occurred within the data window.

ulcer_index: f64

Ulcer Index: root-mean-square of drawdown depth across all periods, expressed as a percentage (0–100). Penalises both depth and duration of drawdowns, unlike max_drawdown which only reports the worst single one.

information_ratio: Option<f64>

Information Ratio vs benchmark: annualised mean excess return divided by tracking error. None when no benchmark is provided or data is insufficient.

tracking_error: Option<f64>

Tracking error vs benchmark: annualised standard deviation of (asset − benchmark) periodic returns. None when no benchmark is provided or data is insufficient.

Trait Implementations

impl Clone for RiskSummary

fn clone(&self) -> RiskSummary

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for RiskSummary

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for RiskSummary

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for RiskSummary

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.