source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 233 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 (11 months)
Only 11 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 | -8.01% | -13.03% | -7.82% | -11.09% |
| CVaR (ES) | -10.92% | -15.26% | -9.83% | -12.71% |
| VaR (Cornish-Fisher) | — | — | -8.07% | -13.01% |
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 |
|---|
| -48.66% | 2025-10-23 | 2026-03-13 | ongoing | 96 | — |
| -14.13% | 2025-08-14 | 2025-08-21 | 2025-08-27 | 5 | 4 |
| -12.62% | 2025-10-03 | 2025-10-09 | 2025-10-22 | 4 | 9 |
| -10.62% | 2025-08-27 | 2025-09-05 | 2025-09-23 | 6 | 12 |
| -7.83% | 2025-09-23 | 2025-09-26 | 2025-10-01 | 3 | 3 |
| -0.20% | 2025-08-11 | 2025-08-12 | 2025-08-13 | 1 | 1 |
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 11 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
