source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 189 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 (9 months)
Only 9 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 | -3.35% | -5.17% | -3.87% | -5.51% |
| CVaR (ES) | -5.05% | -9.42% | -4.87% | -6.32% |
| VaR (Cornish-Fisher) | — | — | -4.02% | -7.62% |
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 |
|---|
| -29.22% | 2025-10-28 | 2026-03-12 | ongoing | 92 | — |
| -4.71% | 2025-10-14 | 2025-10-17 | 2025-10-22 | 3 | 3 |
| -2.18% | 2025-10-22 | 2025-10-23 | 2025-10-28 | 1 | 3 |
Each peak-to-recovery underwater episode, worst depth first (top 3). 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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
