source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 233 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 | -11.72% | -17.98% | -12.91% | -18.46% |
| CVaR (ES) | -15.20% | -20.17% | -16.31% | -21.22% |
| VaR (Cornish-Fisher) | — | — | -11.43% | -16.77% |
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 |
|---|
| -72.45% | 2025-10-13 | 2026-03-27 | 2026-06-22 | 114 | 48 |
| -48.29% | 2026-06-22 | 2026-07-27 | ongoing | 24 | — |
| -18.67% | 2025-09-23 | 2025-09-26 | 2025-10-01 | 3 | 3 |
| -18.24% | 2025-09-10 | 2025-09-16 | 2025-09-19 | 4 | 3 |
| -14.39% | 2025-08-18 | 2025-09-08 | 2025-09-10 | 14 | 2 |
| -9.31% | 2025-08-07 | 2025-08-11 | 2025-08-13 | 2 | 2 |
| -7.36% | 2025-10-02 | 2025-10-03 | 2025-10-06 | 1 | 1 |
| -4.20% | 2025-08-14 | 2025-08-15 | 2025-08-18 | 1 | 1 |
| -3.67% | 2025-10-08 | 2025-10-10 | 2025-10-13 | 2 | 1 |
| -0.88% | 2025-10-06 | 2025-10-07 | 2025-10-08 | 1 | 1 |
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
