source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 73 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 (4 months)
Only 4 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 | -41.00% | -70.09% | -129.06% | -189.07% |
| CVaR (ES) | -58.93% | -79.08% | -165.85% | -218.91% |
| VaR (Cornish-Fisher) | — | — | 82.88% | 380.31% |
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 |
|---|
| -82.01% | 2026-05-01 | 2026-06-23 | ongoing | 24 | — |
| -66.60% | 2026-03-31 | 2026-04-01 | 2026-04-09 | 1 | 5 |
| -57.92% | 2026-03-17 | 2026-03-24 | 2026-03-26 | 5 | 2 |
| -32.50% | 2026-03-12 | 2026-03-13 | 2026-03-17 | 1 | 2 |
| -18.50% | 2026-03-27 | 2026-03-30 | 2026-03-31 | 1 | 1 |
| -14.62% | 2026-04-20 | 2026-04-22 | 2026-04-24 | 2 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 6). 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 4 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
