source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 144 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
Volatility & risk-adjusted return
vs S&P 500 · monthly, same window (7 months)
Only 7 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
Trailing returns · total return (incl. dividends)
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 | -17.19% | -25.50% | -24.47% | -35.06% |
| CVaR (ES) | -22.52% | -29.33% | -30.96% | -40.32% |
| VaR (Cornish-Fisher) | — | — | 5.73% | 5.46% |
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 |
|---|
| -80.76% | 2025-12-29 | 2026-03-18 | 2026-04-22 | 54 | 24 |
| -46.51% | 2026-04-22 | 2026-05-18 | 2026-07-21 | 18 | 33 |
| -28.20% | 2026-07-21 | 2026-07-24 | ongoing | 3 | — |
| -10.77% | 2025-12-19 | 2025-12-24 | 2025-12-26 | 3 | 1 |
| -9.41% | 2025-12-12 | 2025-12-17 | 2025-12-19 | 3 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 5). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
Notes
- benchmark: only 7 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
