source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 109 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 | -30.11% | -43.59% | -46.76% | -67.98% |
| CVaR (ES) | -37.89% | -49.12% | -59.77% | -78.53% |
| VaR (Cornish-Fisher) | — | — | -18.12% | -7.87% |
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 |
|---|
| -83.30% | 2026-02-17 | 2026-05-06 | 2026-05-19 | 54 | 9 |
| -75.33% | 2026-06-18 | 2026-07-27 | ongoing | 25 | — |
| -41.47% | 2026-02-03 | 2026-02-13 | 2026-02-17 | 8 | 1 |
| -28.00% | 2026-06-11 | 2026-06-15 | 2026-06-17 | 2 | 2 |
| -18.37% | 2026-05-21 | 2026-05-22 | 2026-06-09 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 5). 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
