source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 95 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 (5 months)
Only 5 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 | -0.60% | -1.20% | -0.65% | -0.93% |
| CVaR (ES) | -0.94% | -1.48% | -0.82% | -1.07% |
| VaR (Cornish-Fisher) | — | — | -0.61% | -1.28% |
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 |
|---|
| -1.88% | 2026-03-17 | 2026-03-30 | 2026-04-02 | 9 | 3 |
| -1.77% | 2026-05-22 | 2026-06-10 | ongoing | 2 | — |
| -0.74% | 2026-03-11 | 2026-03-12 | 2026-03-17 | 1 | 3 |
| -0.68% | 2026-04-02 | 2026-04-06 | 2026-04-08 | 1 | 2 |
| -0.58% | 2026-04-13 | 2026-04-14 | 2026-04-23 | 1 | 7 |
| -0.48% | 2026-05-07 | 2026-05-15 | 2026-05-18 | 6 | 1 |
| -0.44% | 2026-03-06 | 2026-03-09 | 2026-03-11 | 1 | 2 |
| -0.37% | 2026-02-26 | 2026-02-27 | 2026-03-02 | 1 | 1 |
| -0.34% | 2026-04-23 | 2026-04-27 | 2026-04-30 | 2 | 3 |
| -0.34% | 2026-05-19 | 2026-05-21 | 2026-05-22 | 2 | 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 5 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
