source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 235 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 | -5.28% | -7.54% | -7.28% | -10.26% |
| CVaR (ES) | -7.15% | -9.33% | -9.11% | -11.74% |
| VaR (Cornish-Fisher) | — | — | -0.05% | -4.08% |
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 |
|---|
| -59.87% | 2025-09-23 | 2026-07-30 | ongoing | 203 | — |
| -13.80% | 2025-08-07 | 2025-08-11 | 2025-08-13 | 2 | 2 |
| -10.13% | 2025-08-13 | 2025-08-19 | 2025-08-21 | 4 | 2 |
| -9.79% | 2025-08-21 | 2025-09-02 | 2025-09-11 | 7 | 7 |
| -6.46% | 2025-09-12 | 2025-09-16 | 2025-09-19 | 2 | 3 |
| -1.64% | 2025-09-19 | 2025-09-22 | 2025-09-23 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 6). 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
