source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 200 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 | -11.54% | -15.10% | -14.26% | -20.19% |
| CVaR (ES) | -14.24% | -17.89% | -17.89% | -23.13% |
| VaR (Cornish-Fisher) | — | — | -7.54% | -11.49% |
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 |
|---|
| -63.73% | 2025-12-04 | 2026-07-29 | ongoing | 151 | — |
| -52.09% | 2025-10-03 | 2025-11-17 | 2025-12-04 | 31 | 12 |
| -13.19% | 2025-09-25 | 2025-09-29 | 2025-10-02 | 2 | 3 |
Each peak-to-recovery underwater episode, worst depth first (top 3). 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
