source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 169 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 (8 months)
Only 8 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 | -7.80% | -12.40% | -8.82% | -12.58% |
| CVaR (ES) | -11.24% | -14.38% | -11.13% | -14.45% |
| VaR (Cornish-Fisher) | — | — | -8.23% | -12.40% |
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 |
|---|
| -50.81% | 2025-11-28 | 2026-03-12 | 2026-07-17 | 70 | 77 |
| -17.80% | 2025-11-06 | 2025-11-13 | 2025-11-21 | 5 | 6 |
| -4.87% | 2026-07-21 | 2026-07-24 | 2026-07-28 | 3 | 2 |
| -3.97% | 2026-07-17 | 2026-07-20 | 2026-07-21 | 1 | 1 |
| -1.58% | 2025-11-25 | 2025-11-26 | 2025-11-28 | 1 | 1 |
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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
