source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 213 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 | -2.12% | -2.93% | -2.20% | -3.13% |
| CVaR (ES) | -2.89% | -3.93% | -2.77% | -3.59% |
| VaR (Cornish-Fisher) | — | — | -1.69% | -3.32% |
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 |
|---|
| -18.01% | 2026-02-17 | 2026-07-23 | ongoing | 98 | — |
| -5.50% | 2025-12-03 | 2025-12-19 | 2026-01-07 | 12 | 11 |
| -4.61% | 2025-11-11 | 2025-11-21 | 2025-12-01 | 8 | 5 |
| -4.08% | 2025-10-10 | 2025-11-06 | 2025-11-11 | 19 | 3 |
| -3.20% | 2026-01-08 | 2026-01-13 | 2026-01-21 | 3 | 5 |
| -2.49% | 2025-09-09 | 2025-09-10 | 2025-09-12 | 1 | 2 |
| -2.40% | 2025-10-07 | 2025-10-09 | 2025-10-10 | 2 | 1 |
| -1.87% | 2026-01-22 | 2026-01-23 | 2026-01-26 | 1 | 1 |
| -1.52% | 2026-01-28 | 2026-02-03 | 2026-02-04 | 4 | 1 |
| -1.33% | 2025-09-24 | 2025-09-25 | 2025-10-03 | 1 | 6 |
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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
