source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 207 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 | -6.53% | -10.04% | -6.74% | -9.39% |
| CVaR (ES) | -9.55% | -13.55% | -8.37% | -10.71% |
| VaR (Cornish-Fisher) | — | — | -6.34% | -13.18% |
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 |
|---|
| -67.26% | 2025-12-18 | 2026-06-17 | ongoing | 113 | — |
| -9.88% | 2025-09-15 | 2025-12-08 | 2025-12-11 | 59 | 3 |
| -1.44% | 2025-12-11 | 2025-12-12 | 2025-12-15 | 1 | 1 |
| -1.18% | 2025-12-16 | 2025-12-17 | 2025-12-18 | 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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
