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 | 1.68 | Correlation | 0.35 |
| Up capture | −448.95% | Down capture | 808.47% |
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 | -15.53% | -30.47% | -17.32% | -24.35% |
| CVaR (ES) | -24.73% | -39.18% | -21.63% | -27.84% |
| VaR (Cornish-Fisher) | — | — | -14.07% | -39.71% |
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 |
|---|
| -90.86% | 2025-08-11 | 2026-04-28 | ongoing | 179 | — |
| -9.20% | 2025-07-31 | 2025-08-08 | 2025-08-11 | 6 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 2). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
