source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 51 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 (3 months)
Only 3 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)
Insufficient history for a 63-period rolling window on this series.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|
| VaR | -6.90% | -9.56% | -7.19% | -10.17% |
| CVaR (ES) | -8.70% | -10.76% | -9.01% | -11.65% |
| VaR (Cornish-Fisher) | — | — | -7.22% | -10.23% |
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 |
|---|
| -22.11% | 2026-06-22 | 2026-07-16 | ongoing | 17 | — |
| -13.62% | 2026-05-13 | 2026-05-18 | 2026-06-18 | 3 | 12 |
| -9.75% | 2026-05-01 | 2026-05-07 | 2026-05-12 | 4 | 3 |
Each peak-to-recovery underwater episode, worst depth first (top 3). 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 3 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
