source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 198 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 | -3.03% | -4.51% | -3.33% | -4.71% |
| CVaR (ES) | -4.04% | -5.49% | -4.18% | -5.40% |
| VaR (Cornish-Fisher) | — | — | -3.16% | -4.52% |
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 |
|---|
| -23.95% | 2026-01-27 | 2026-06-26 | ongoing | 94 | — |
| -17.72% | 2025-09-15 | 2025-11-24 | 2026-01-07 | 31 | 29 |
| -4.14% | 2026-01-12 | 2026-01-22 | 2026-01-27 | 7 | 3 |
| -0.91% | 2025-09-03 | 2025-09-04 | 2025-09-08 | 1 | 2 |
| -0.72% | 2025-09-08 | 2025-09-09 | 2025-09-10 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 5). 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
