source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 221 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 | -2.93% | -4.85% | -3.26% | -4.54% |
| CVaR (ES) | -4.77% | -8.40% | -4.05% | -5.18% |
| VaR (Cornish-Fisher) | — | — | -3.63% | -9.52% |
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 |
|---|
| -43.57% | 2025-12-09 | 2026-03-23 | ongoing | 70 | — |
| -9.26% | 2025-09-10 | 2025-10-10 | 2025-11-07 | 22 | 20 |
| -4.87% | 2025-11-12 | 2025-11-13 | 2025-11-25 | 1 | 8 |
| -1.15% | 2025-11-25 | 2025-11-26 | 2025-12-05 | 1 | 6 |
| -0.98% | 2025-08-29 | 2025-09-03 | 2025-09-10 | 2 | 5 |
| -0.08% | 2025-08-25 | 2025-08-26 | 2025-08-27 | 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
