source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 162 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 (8 months)
Only 8 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 | -1.22% | -1.80% | -1.28% | -1.83% |
| CVaR (ES) | -1.58% | -2.06% | -1.61% | -2.10% |
| VaR (Cornish-Fisher) | — | — | -1.25% | -1.86% |
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 |
|---|
| -11.99% | 2026-01-12 | 2026-03-27 | 2026-05-06 | 52 | 27 |
| -3.50% | 2026-07-06 | 2026-07-23 | ongoing | 13 | — |
| -2.41% | 2026-06-15 | 2026-06-23 | 2026-06-30 | 5 | 5 |
| -2.00% | 2025-12-24 | 2026-01-02 | 2026-01-06 | 5 | 2 |
| -1.83% | 2025-12-03 | 2025-12-17 | 2025-12-23 | 10 | 4 |
| -1.65% | 2025-11-17 | 2025-11-20 | 2025-11-24 | 3 | 2 |
| -1.64% | 2026-05-14 | 2026-05-19 | 2026-05-22 | 3 | 3 |
| -0.84% | 2026-06-09 | 2026-06-10 | 2026-06-11 | 1 | 1 |
| -0.64% | 2026-05-06 | 2026-05-12 | 2026-05-13 | 4 | 1 |
| -0.54% | 2025-11-28 | 2025-12-01 | 2025-12-02 | 1 | 1 |
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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
