source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 199 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 | -7.48% | -18.60% | -9.15% | -12.87% |
| CVaR (ES) | -12.16% | -20.73% | -11.43% | -14.72% |
| VaR (Cornish-Fisher) | — | — | -8.83% | -16.89% |
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 |
|---|
| -62.36% | 2025-12-31 | 2026-07-28 | ongoing | 132 | — |
| -42.99% | 2025-10-09 | 2025-12-02 | 2025-12-19 | 37 | 13 |
| -25.03% | 2025-09-25 | 2025-10-01 | 2025-10-06 | 4 | 3 |
| -6.43% | 2025-12-22 | 2025-12-29 | 2025-12-31 | 4 | 2 |
| -4.68% | 2025-10-07 | 2025-10-08 | 2025-10-09 | 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
