source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 218 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 | -14.11% | -34.85% | -22.81% | -31.85% |
| CVaR (ES) | -27.43% | -45.04% | -28.35% | -36.34% |
| VaR (Cornish-Fisher) | — | — | 1.09% | -41.15% |
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 |
|---|
| -99.33% | 2025-10-23 | 2026-07-24 | ongoing | 177 | — |
| -8.12% | 2025-10-15 | 2025-10-17 | 2025-10-20 | 2 | 1 |
| -5.66% | 2025-10-06 | 2025-10-09 | 2025-10-15 | 3 | 4 |
| -5.66% | 2025-09-16 | 2025-09-18 | 2025-09-23 | 2 | 3 |
| -3.00% | 2025-09-08 | 2025-09-09 | 2025-09-11 | 1 | 2 |
| -2.30% | 2025-09-29 | 2025-09-30 | 2025-10-01 | 1 | 1 |
| -0.38% | 2025-09-23 | 2025-09-24 | 2025-09-25 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 7). 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
