source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 219 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 | -4.85% | -7.39% | -6.14% | -8.74% |
| CVaR (ES) | -6.84% | -8.36% | -7.73% | -10.03% |
| VaR (Cornish-Fisher) | — | — | -5.07% | -6.95% |
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 |
|---|
| -32.21% | 2026-01-16 | 2026-04-10 | 2026-05-22 | 57 | 30 |
| -31.35% | 2025-09-22 | 2025-11-20 | 2026-01-06 | 43 | 30 |
| -20.55% | 2026-05-22 | 2026-07-29 | ongoing | 35 | — |
| -8.70% | 2025-08-29 | 2025-09-10 | 2025-09-15 | 7 | 3 |
| -8.47% | 2026-01-06 | 2026-01-13 | 2026-01-16 | 5 | 3 |
| -2.06% | 2025-09-18 | 2025-09-19 | 2025-09-22 | 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
