source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 211 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 (10 months)
Only 10 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 | -18.49% | -27.11% | -21.27% | -30.44% |
| CVaR (ES) | -23.50% | -29.96% | -26.89% | -34.99% |
| VaR (Cornish-Fisher) | — | — | -18.74% | -25.92% |
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 |
|---|
| -84.39% | 2025-10-15 | 2026-03-30 | ongoing | 113 | — |
| -23.12% | 2025-09-23 | 2025-09-26 | 2025-10-01 | 3 | 3 |
| -2.48% | 2025-10-06 | 2025-10-07 | 2025-10-08 | 1 | 1 |
| -1.03% | 2025-10-02 | 2025-10-03 | 2025-10-06 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 4). 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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
