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 | -1.98% | -2.69% | -1.99% | -2.81% |
| CVaR (ES) | -2.37% | -2.92% | -2.49% | -3.22% |
| VaR (Cornish-Fisher) | — | — | -1.95% | -2.66% |
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 |
|---|
| -17.45% | 2026-01-15 | 2026-03-30 | 2026-07-06 | 50 | 56 |
| -7.69% | 2026-07-06 | 2026-07-24 | ongoing | 14 | — |
| -2.49% | 2025-12-22 | 2025-12-31 | 2026-01-06 | 6 | 3 |
| -0.70% | 2025-12-16 | 2025-12-17 | 2025-12-19 | 1 | 2 |
| -0.64% | 2026-01-12 | 2026-01-14 | 2026-01-15 | 2 | 1 |
| -0.34% | 2026-01-06 | 2026-01-07 | 2026-01-09 | 1 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 6). 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
