source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 240 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 (12 months)
| Beta | 0.17 | Correlation | 0.19 |
| Up capture | 45.36% | Down capture | −84.37% |
Standard monthly capture ratios over 12 paired month-end total returns vs SPY, computed over the same window as every metric above.
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 | -1.02% | -1.55% | -1.00% | -1.44% |
| CVaR (ES) | -1.38% | -1.79% | -1.27% | -1.66% |
| VaR (Cornish-Fisher) | — | — | -1.02% | -1.63% |
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 |
|---|
| -5.38% | 2026-02-27 | 2026-03-20 | 2026-04-09 | 15 | 13 |
| -3.48% | 2025-11-28 | 2025-12-19 | 2026-01-16 | 15 | 18 |
| -3.48% | 2026-04-30 | 2026-05-15 | 2026-06-26 | 11 | 18 |
| -3.32% | 2026-04-09 | 2026-04-22 | 2026-04-30 | 9 | 6 |
| -3.08% | 2025-08-22 | 2025-09-08 | 2025-10-03 | 10 | 19 |
| -2.59% | 2025-10-20 | 2025-10-29 | 2025-11-26 | 7 | 20 |
| -2.35% | 2026-07-24 | 2026-07-30 | ongoing | 4 | — |
| -1.60% | 2026-06-26 | 2026-06-30 | 2026-07-02 | 2 | 2 |
| -1.15% | 2026-07-14 | 2026-07-21 | 2026-07-22 | 5 | 1 |
| -1.10% | 2025-10-08 | 2025-10-10 | 2025-10-15 | 2 | 3 |
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.
