source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 187 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 | -2.17% | -4.60% | -2.86% | -4.11% |
| CVaR (ES) | -4.30% | -7.79% | -3.63% | -4.73% |
| VaR (Cornish-Fisher) | — | — | -3.07% | -6.30% |
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 |
|---|
| -13.89% | 2026-04-20 | 2026-05-15 | ongoing | 19 | — |
| -10.23% | 2026-02-20 | 2026-03-18 | 2026-04-09 | 18 | 15 |
| -7.78% | 2025-10-14 | 2025-10-29 | 2025-11-05 | 11 | 5 |
| -7.53% | 2025-11-10 | 2025-11-20 | 2025-12-10 | 8 | 13 |
| -5.69% | 2025-12-17 | 2025-12-31 | 2026-01-21 | 9 | 13 |
| -3.79% | 2026-01-22 | 2026-01-28 | 2026-02-03 | 4 | 4 |
| -3.51% | 2026-02-09 | 2026-02-12 | 2026-02-20 | 3 | 5 |
| -2.08% | 2026-04-09 | 2026-04-15 | 2026-04-17 | 4 | 2 |
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
