source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 142 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 | -3.09% | -4.34% | -3.60% | -5.07% |
| CVaR (ES) | -3.99% | -5.16% | -4.50% | -5.80% |
| VaR (Cornish-Fisher) | — | — | -2.86% | -4.64% |
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 |
|---|
| -30.48% | 2026-03-19 | 2026-07-27 | ongoing | 78 | — |
| -11.97% | 2025-12-19 | 2026-01-07 | 2026-02-06 | 11 | 21 |
| -6.86% | 2026-02-20 | 2026-03-09 | 2026-03-18 | 11 | 7 |
| -4.08% | 2025-12-16 | 2025-12-17 | 2025-12-18 | 1 | 1 |
| -0.99% | 2026-02-10 | 2026-02-11 | 2026-02-13 | 1 | 2 |
| -0.82% | 2026-02-17 | 2026-02-18 | 2026-02-19 | 1 | 1 |
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
