source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 145 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 (7 months)
Only 7 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 | -1.75% | -2.42% | -1.83% | -2.60% |
| CVaR (ES) | -2.16% | -2.54% | -2.31% | -2.99% |
| VaR (Cornish-Fisher) | — | — | -1.74% | -2.47% |
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 |
|---|
| -13.79% | 2026-01-29 | 2026-03-30 | 2026-05-06 | 41 | 26 |
| -5.13% | 2026-07-06 | 2026-07-29 | ongoing | 17 | — |
| -3.74% | 2026-05-06 | 2026-06-10 | 2026-06-15 | 14 | 3 |
| -3.37% | 2026-06-15 | 2026-06-25 | 2026-07-06 | 7 | 6 |
| -3.17% | 2026-01-12 | 2026-01-20 | 2026-01-29 | 5 | 7 |
| -1.90% | 2025-12-15 | 2025-12-17 | 2025-12-22 | 2 | 3 |
| -0.74% | 2026-01-06 | 2026-01-08 | 2026-01-09 | 2 | 1 |
| -0.64% | 2025-12-26 | 2025-12-31 | 2026-01-05 | 3 | 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 7 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
