source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 213 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 | -17.95% | -27.28% | -20.79% | -29.80% |
| CVaR (ES) | -23.85% | -30.20% | -26.32% | -34.29% |
| VaR (Cornish-Fisher) | — | — | -18.59% | -26.57% |
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 |
|---|
| -78.64% | 2026-06-18 | 2026-07-29 | ongoing | 27 | — |
| -77.97% | 2025-10-13 | 2026-02-05 | 2026-05-06 | 79 | 62 |
| -25.47% | 2026-05-14 | 2026-05-20 | 2026-06-12 | 4 | 6 |
| -17.77% | 2026-05-06 | 2026-05-08 | 2026-05-13 | 2 | 3 |
| -16.41% | 2025-09-09 | 2025-09-16 | 2025-09-19 | 5 | 3 |
| -15.59% | 2025-10-03 | 2025-10-07 | 2025-10-09 | 2 | 2 |
| -9.91% | 2025-09-24 | 2025-09-26 | 2025-10-01 | 2 | 3 |
| -4.71% | 2025-10-09 | 2025-10-10 | 2025-10-13 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 8). 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
