source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 231 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 (11 months)
Only 11 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 | -6.67% | -11.97% | -7.35% | -10.40% |
| CVaR (ES) | -9.65% | -14.61% | -9.22% | -11.92% |
| VaR (Cornish-Fisher) | — | — | -6.96% | -12.04% |
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 |
|---|
| -48.14% | 2025-11-17 | 2026-06-10 | ongoing | 130 | — |
| -26.82% | 2025-08-18 | 2025-08-22 | 2025-09-22 | 4 | 20 |
| -15.72% | 2025-10-06 | 2025-10-22 | 2025-11-10 | 12 | 13 |
| -6.99% | 2025-09-22 | 2025-09-23 | 2025-10-02 | 1 | 7 |
| -2.90% | 2025-11-11 | 2025-11-13 | 2025-11-14 | 2 | 1 |
| -0.64% | 2025-10-02 | 2025-10-03 | 2025-10-06 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 6). 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 11 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
