stability

Score explanation and ranking

Description

The stability score shows how stable an asset has been in the past versus other assets in our universe. Instead of digging through volatility and drawdowns, you get a clear ranking: does it look more robust or more nervous?

We score multiple stability metrics across different windows — e.g., volatility, maximum drawdowns, and risk‑adjusted measures like Sharpe and Sortino — and rank each one relative to all assets with data. High points (near 100) mean calmer swings and shallower pullbacks; low points (near 0) mean bigger swings and deeper drops.

Important: Even a high stability score doesn’t mean an asset can’t fall. It’s mainly a relative stability profile that helps with diversification, position sizing, and putting performance into context.

FAQ

What does the stability score mean — is a higher value good or bad?

On FoxScore, higher is better. A high stability score indicates more stability — typically calmer swings and smaller drawdowns. It’s not a return promise; it helps you compare the stability profile of an asset against others at a glance.

Volatility vs. drawdown — which one matters more?

Volatility describes day-to-day noise; drawdown is the largest peak‑to‑trough drop. They feel different: volatility is “choppiness”, drawdown is “pain”. The stability score blends both so you don’t rely on a single risk proxy.

Why can an asset have strong performance but a weak stability score?

Because it may have earned returns with large swings or deep drops. An asset can rally hard after a crash (good performance) while still looking risky due to high volatility and large drawdowns.

Formula & terms

Weights

vol_365d_ann

35 %

maxdd_10y

10 %

maxdd_5y

8 %

maxdd_3y

7 %

maxdd_365d

5 %

dd_current

5 %

sharpe_90d

14 %

sortino_90d

12 %

cagr_drawdown_ratio

4 %

Formula

SVol     = S_low(abs(vol_365d_ann))
SDD_10y  = S_high(maxdd_10y)
SDD_5y   = S_high(maxdd_5y)
SDD_3y   = S_high(maxdd_3y)
SDD_365  = S_high(maxdd_365d)
SDD_cur  = S_high(dd_current)
SSharpe  = S_high(sharpe_90d)
SSortino = S_high(sortino_90d)
SCDR     = S_high(cagr_drawdown_ratio)

Stability = WM(0.35*SVol + 0.10*SDD_10y + 0.08*SDD_5y + 0.07*SDD_3y + 0.05*SDD_365 + 0.05*SDD_cur + 0.14*SSharpe + 0.12*SSortino + 0.04*SCDR, default=50)

Inputs

Volatility (365d, annualized)
How strongly the price tends to fluctuate (scaled to one year). Lower is calmer/more stable.
Lower is better
Max drawdown (10 years)
Largest peak-to-trough decline over ~10 years. Can be missing for younger assets.
Higher is better
Max drawdown (5 years)
Largest peak-to-trough decline over ~5 years.
Higher is better
Max drawdown (3 years)
Largest peak-to-trough decline over ~3 years.
Higher is better
Max drawdown (365d)
Largest peak-to-trough decline over the last 12 months.
Higher is better
Current drawdown
How far the price is currently below its most recent high.
Higher is better
Sharpe ratio (90d)
Return per unit of risk (volatility). Higher is better.
Higher is better
Sortino ratio (90d)
Like Sharpe, but penalizes mainly downside volatility. Higher is better.
Higher is better
CAGR/Drawdown ratio
Long-term growth relative to a reference drawdown (depending on data availability: 10y/5y/3y/1y). Higher is better.
Higher is better
Return/Volatility ratio
1Y return relative to 365d volatility. Displayed, but not necessarily part of the weighting.
Higher is better

Ranking

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