source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 227 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 | -0.47% | -0.75% | -0.70% | -1.00% |
| CVaR (ES) | -0.89% | -1.90% | -0.89% | -1.15% |
| VaR (Cornish-Fisher) | — | — | -0.34% | -4.90% |
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 |
|---|
| -4.19% | 2025-11-18 | 2026-03-23 | ongoing | 84 | — |
| -0.97% | 2025-10-27 | 2025-10-29 | 2025-11-18 | 2 | 14 |
| -0.79% | 2025-09-17 | 2025-09-25 | 2025-10-10 | 6 | 11 |
| -0.50% | 2025-10-14 | 2025-10-15 | 2025-10-16 | 1 | 1 |
| -0.48% | 2025-10-16 | 2025-10-23 | 2025-10-24 | 5 | 1 |
| -0.21% | 2025-08-19 | 2025-08-21 | 2025-08-27 | 2 | 4 |
| -0.15% | 2025-09-11 | 2025-09-12 | 2025-09-15 | 1 | 1 |
| -0.12% | 2025-10-10 | 2025-10-13 | 2025-10-14 | 1 | 1 |
| -0.07% | 2025-08-28 | 2025-08-29 | 2025-09-03 | 1 | 2 |
| -0.03% | 2025-09-08 | 2025-09-09 | 2025-09-10 | 1 | 1 |
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 11 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
