source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 190 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 (9 months)
Only 9 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 | -20.58% | -42.66% | -21.97% | -31.31% |
| CVaR (ES) | -34.39% | -55.45% | -27.70% | -35.95% |
| VaR (Cornish-Fisher) | — | — | -24.08% | -45.68% |
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 |
|---|
| -92.29% | 2026-02-05 | 2026-05-22 | ongoing | 74 | — |
| -53.92% | 2025-11-20 | 2026-01-16 | 2026-02-05 | 38 | 13 |
| -53.23% | 2025-10-10 | 2025-10-15 | 2025-10-22 | 3 | 5 |
| -40.77% | 2025-10-22 | 2025-10-31 | 2025-11-11 | 7 | 7 |
| -8.10% | 2025-11-17 | 2025-11-18 | 2025-11-20 | 1 | 2 |
| -2.56% | 2025-11-13 | 2025-11-14 | 2025-11-17 | 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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
