source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 198 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 | -8.04% | -15.91% | -11.54% | -16.41% |
| CVaR (ES) | -12.20% | -20.04% | -14.52% | -18.82% |
| VaR (Cornish-Fisher) | — | — | 1.93% | -3.57% |
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 |
|---|
| -70.72% | 2025-10-03 | 2026-03-20 | 2026-04-07 | 115 | 11 |
| -38.68% | 2026-04-07 | 2026-05-21 | ongoing | 32 | — |
| -9.77% | 2025-09-23 | 2025-09-24 | 2025-10-03 | 1 | 7 |
| -3.41% | 2025-09-16 | 2025-09-18 | 2025-09-23 | 2 | 3 |
| -2.04% | 2025-09-04 | 2025-09-05 | 2025-09-08 | 1 | 1 |
| -1.54% | 2025-09-09 | 2025-09-10 | 2025-09-12 | 1 | 2 |
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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
