source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 166 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 | -14.80% | -24.05% | -14.85% | -21.07% |
| CVaR (ES) | -21.01% | -30.34% | -18.66% | -24.16% |
| VaR (Cornish-Fisher) | — | — | -15.59% | -25.35% |
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 |
|---|
| -81.86% | 2026-02-05 | 2026-07-06 | ongoing | 92 | — |
| -44.33% | 2025-11-20 | 2025-12-04 | 2026-02-02 | 9 | 39 |
| -6.81% | 2025-11-18 | 2025-11-19 | 2025-11-20 | 1 | 1 |
| -1.48% | 2025-11-13 | 2025-11-14 | 2025-11-17 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 4). 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
