source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 231 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 | -5.74% | -10.31% | -6.61% | -9.52% |
| CVaR (ES) | -8.62% | -12.15% | -8.40% | -10.97% |
| VaR (Cornish-Fisher) | — | — | -5.27% | -10.66% |
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 |
|---|
| -29.96% | 2025-09-25 | 2025-10-17 | 2025-11-10 | 16 | 16 |
| -27.79% | 2026-05-08 | 2026-07-14 | ongoing | 34 | — |
| -22.68% | 2025-12-17 | 2026-01-30 | 2026-02-18 | 29 | 12 |
| -16.81% | 2026-02-20 | 2026-03-20 | 2026-03-31 | 20 | 7 |
| -10.50% | 2025-08-22 | 2025-08-27 | 2025-08-29 | 3 | 2 |
| -10.48% | 2026-03-31 | 2026-04-07 | 2026-04-28 | 4 | 15 |
| -9.29% | 2025-11-13 | 2025-12-01 | 2025-12-05 | 11 | 4 |
| -6.20% | 2025-08-29 | 2025-09-03 | 2025-09-05 | 2 | 2 |
| -4.38% | 2026-04-30 | 2026-05-04 | 2026-05-08 | 2 | 4 |
| -3.98% | 2025-08-18 | 2025-08-19 | 2025-08-21 | 1 | 2 |
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
