source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 184 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 (9 months)
Only 9 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 | -0.06% | -0.12% | -0.09% | -0.13% |
| CVaR (ES) | -0.14% | -0.37% | -0.12% | -0.16% |
| VaR (Cornish-Fisher) | — | — | -0.09% | -0.44% |
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 |
|---|
| -0.61% | 2025-10-21 | 2025-10-22 | 2025-12-17 | 1 | 39 |
| -0.13% | 2026-04-13 | 2026-04-14 | 2026-05-05 | 1 | 15 |
| -0.13% | 2026-02-27 | 2026-03-04 | 2026-03-06 | 3 | 2 |
| -0.12% | 2026-07-22 | 2026-07-23 | 2026-07-28 | 1 | 3 |
| -0.10% | 2026-07-14 | 2026-07-15 | 2026-07-22 | 1 | 5 |
| -0.08% | 2026-05-05 | 2026-05-06 | 2026-05-07 | 1 | 1 |
| -0.08% | 2026-02-13 | 2026-02-17 | 2026-02-24 | 1 | 5 |
| -0.08% | 2026-05-22 | 2026-06-15 | 2026-06-16 | 5 | 1 |
| -0.08% | 2026-01-16 | 2026-01-20 | 2026-01-21 | 1 | 1 |
| -0.07% | 2026-02-06 | 2026-02-11 | 2026-02-13 | 3 | 2 |
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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
