source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 206 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 | -2.15% | -3.46% | -2.10% | -2.98% |
| CVaR (ES) | -2.91% | -3.48% | -2.64% | -3.42% |
| VaR (Cornish-Fisher) | — | — | -2.11% | -3.31% |
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 |
|---|
| -25.64% | 2025-10-28 | 2026-03-27 | ongoing | 103 | — |
| -3.00% | 2025-10-09 | 2025-10-16 | 2025-10-27 | 5 | 7 |
| -1.98% | 2025-09-22 | 2025-09-25 | 2025-10-06 | 3 | 7 |
| -0.42% | 2025-10-06 | 2025-10-07 | 2025-10-08 | 1 | 1 |
| -0.08% | 2025-09-16 | 2025-09-17 | 2025-09-18 | 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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
