source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 231 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 | -2.90% | -4.33% | -3.12% | -4.43% |
| CVaR (ES) | -3.76% | -5.03% | -3.92% | -5.07% |
| VaR (Cornish-Fisher) | — | — | -2.00% | -5.50% |
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 |
|---|
| -22.89% | 2026-05-08 | 2026-07-21 | ongoing | 39 | — |
| -20.38% | 2025-08-21 | 2025-11-17 | 2026-01-14 | 61 | 39 |
| -11.36% | 2026-02-17 | 2026-03-20 | 2026-05-08 | 23 | 34 |
| -6.88% | 2026-01-22 | 2026-01-28 | 2026-02-12 | 4 | 11 |
| -2.31% | 2026-01-14 | 2026-01-15 | 2026-01-16 | 1 | 1 |
| -2.16% | 2026-01-16 | 2026-01-20 | 2026-01-21 | 1 | 1 |
| -1.48% | 2025-08-13 | 2025-08-15 | 2025-08-20 | 2 | 3 |
Each peak-to-recovery underwater episode, worst depth first (top 7). 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
