source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 182 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 | -1.80% | -3.37% | -1.96% | -2.78% |
| CVaR (ES) | -2.62% | -3.64% | -2.47% | -3.19% |
| VaR (Cornish-Fisher) | — | — | -1.90% | -3.24% |
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 |
|---|
| -11.22% | 2026-02-25 | 2026-03-30 | 2026-04-16 | 23 | 12 |
| -6.63% | 2026-05-06 | 2026-07-24 | ongoing | 44 | — |
| -6.13% | 2025-10-27 | 2025-11-20 | 2026-01-06 | 18 | 30 |
| -3.52% | 2026-01-27 | 2026-02-05 | 2026-02-20 | 7 | 10 |
| -3.40% | 2026-04-17 | 2026-04-29 | 2026-05-06 | 8 | 5 |
| -2.34% | 2026-01-12 | 2026-01-20 | 2026-01-27 | 5 | 5 |
| -0.55% | 2026-02-20 | 2026-02-23 | 2026-02-24 | 1 | 1 |
| -0.38% | 2026-01-06 | 2026-01-08 | 2026-01-09 | 2 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 8). 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
