source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 218 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 | -8.76% | -12.97% | -9.23% | -13.29% |
| CVaR (ES) | -12.07% | -18.35% | -11.72% | -15.31% |
| VaR (Cornish-Fisher) | — | — | -9.31% | -15.45% |
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 |
|---|
| -49.25% | 2026-06-15 | 2026-07-29 | ongoing | 30 | — |
| -35.83% | 2026-01-14 | 2026-03-19 | 2026-04-17 | 44 | 20 |
| -29.40% | 2025-09-02 | 2025-09-15 | 2025-09-25 | 9 | 8 |
| -26.99% | 2026-05-06 | 2026-06-10 | 2026-06-15 | 14 | 3 |
| -22.55% | 2025-10-14 | 2025-10-28 | 2025-11-14 | 10 | 13 |
| -14.15% | 2025-11-17 | 2025-11-24 | 2025-11-28 | 5 | 3 |
| -7.64% | 2026-04-30 | 2026-05-05 | 2026-05-06 | 3 | 1 |
| -7.63% | 2025-10-08 | 2025-10-10 | 2025-10-14 | 2 | 2 |
| -6.88% | 2025-12-01 | 2025-12-05 | 2025-12-08 | 4 | 1 |
| -5.15% | 2025-12-24 | 2025-12-29 | 2026-01-06 | 2 | 5 |
Each peak-to-recovery underwater episode, worst depth first (top 10). 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
