source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 144 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 | -22.83% | -29.98% | -23.01% | -33.24% |
| CVaR (ES) | -27.84% | -32.37% | -29.28% | -38.32% |
| VaR (Cornish-Fisher) | — | — | -21.09% | -32.26% |
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 |
|---|
| -82.08% | 2026-06-22 | 2026-07-29 | ongoing | 26 | — |
| -59.85% | 2026-02-03 | 2026-03-30 | 2026-04-14 | 38 | 10 |
| -44.44% | 2026-05-14 | 2026-06-10 | 2026-06-18 | 8 | 6 |
| -23.92% | 2025-12-16 | 2025-12-17 | 2025-12-22 | 1 | 3 |
| -23.75% | 2026-05-05 | 2026-05-07 | 2026-05-14 | 2 | 5 |
| -15.92% | 2026-01-28 | 2026-01-30 | 2026-02-03 | 2 | 2 |
| -15.91% | 2026-01-20 | 2026-01-26 | 2026-01-28 | 4 | 2 |
| -11.65% | 2025-12-22 | 2025-12-31 | 2026-01-02 | 6 | 1 |
| -10.04% | 2026-04-14 | 2026-04-17 | 2026-04-21 | 3 | 2 |
| -9.38% | 2026-01-13 | 2026-01-14 | 2026-01-16 | 1 | 2 |
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 7 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
