source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 94 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 | -1.56% | -2.78% | -1.79% | -2.57% |
| CVaR (ES) | -2.36% | -2.99% | -2.27% | -2.96% |
| VaR (Cornish-Fisher) | — | — | -1.74% | -2.62% |
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 |
|---|
| -11.41% | 2026-02-26 | 2026-03-20 | 2026-06-11 | 16 | 47 |
| -2.53% | 2026-06-12 | 2026-06-23 | 2026-07-02 | 6 | 7 |
| -1.35% | 2026-07-16 | 2026-07-23 | 2026-07-27 | 5 | 2 |
| -0.88% | 2026-07-07 | 2026-07-09 | 2026-07-13 | 2 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 4). 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
