source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 209 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 (10 months)
Only 10 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 | -1.52% | -1.97% | -1.49% | -2.13% |
| CVaR (ES) | -1.88% | -2.09% | -1.88% | -2.45% |
| VaR (Cornish-Fisher) | — | — | -1.44% | -2.12% |
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 |
|---|
| -10.85% | 2026-02-09 | 2026-03-30 | 2026-05-01 | 34 | 23 |
| -5.18% | 2025-10-28 | 2025-11-20 | 2025-12-10 | 17 | 13 |
| -4.39% | 2026-07-06 | 2026-07-29 | ongoing | 17 | — |
| -3.33% | 2026-01-28 | 2026-02-05 | 2026-02-09 | 6 | 2 |
| -3.06% | 2026-05-14 | 2026-06-10 | 2026-06-15 | 8 | 3 |
| -2.98% | 2026-01-12 | 2026-01-20 | 2026-01-27 | 5 | 5 |
| -2.87% | 2025-10-08 | 2025-10-10 | 2025-10-20 | 2 | 6 |
| -2.71% | 2026-06-15 | 2026-06-24 | 2026-07-06 | 6 | 7 |
| -2.32% | 2025-12-11 | 2025-12-17 | 2025-12-22 | 4 | 3 |
| -1.52% | 2025-09-22 | 2025-09-25 | 2025-10-01 | 3 | 4 |
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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
