source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 164 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 (8 months)
Only 8 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 | -6.45% | -13.08% | -8.15% | -11.44% |
| CVaR (ES) | -10.97% | -18.83% | -10.17% | -13.08% |
| VaR (Cornish-Fisher) | — | — | -8.26% | -15.73% |
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 |
|---|
| -56.00% | 2026-01-14 | 2026-06-10 | ongoing | 91 | — |
| -17.77% | 2025-11-26 | 2025-12-18 | 2026-01-13 | 15 | 16 |
| -10.28% | 2025-11-18 | 2025-11-21 | 2025-11-26 | 3 | 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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
