source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 206 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 | -9.33% | -12.15% | -14.57% | -20.94% |
| CVaR (ES) | -11.14% | -13.21% | -18.47% | -24.10% |
| VaR (Cornish-Fisher) | — | — | 24.52% | 24.32% |
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 |
|---|
| -53.25% | 2026-04-17 | 2026-07-29 | ongoing | 60 | — |
| -43.88% | 2025-10-14 | 2025-11-21 | 2026-01-21 | 28 | 39 |
| -38.20% | 2026-03-11 | 2026-03-30 | 2026-04-16 | 13 | 12 |
| -13.89% | 2026-02-09 | 2026-02-12 | 2026-02-23 | 3 | 6 |
| -9.65% | 2026-03-02 | 2026-03-06 | 2026-03-10 | 4 | 2 |
| -7.17% | 2025-08-28 | 2025-09-05 | 2025-09-08 | 5 | 1 |
| -6.77% | 2026-01-28 | 2026-01-30 | 2026-02-03 | 2 | 2 |
| -5.15% | 2026-02-03 | 2026-02-05 | 2026-02-06 | 2 | 1 |
| -4.15% | 2026-01-26 | 2026-01-27 | 2026-01-28 | 1 | 1 |
| -4.11% | 2025-09-08 | 2025-09-09 | 2025-09-15 | 1 | 4 |
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
