source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 127 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 (6 months)
Only 6 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 | -5.84% | -9.65% | -7.83% | -11.12% |
| CVaR (ES) | -8.04% | -10.25% | -9.85% | -12.76% |
| VaR (Cornish-Fisher) | — | — | -6.94% | -8.76% |
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 |
|---|
| -33.08% | 2026-04-06 | 2026-06-10 | 2026-07-10 | 36 | 20 |
| -25.60% | 2026-07-10 | 2026-07-28 | ongoing | 12 | — |
| -22.04% | 2026-02-19 | 2026-03-05 | 2026-03-31 | 10 | 18 |
| -14.77% | 2026-01-28 | 2026-02-09 | 2026-02-19 | 8 | 7 |
| -11.72% | 2026-01-14 | 2026-01-21 | 2026-01-27 | 4 | 4 |
| -2.10% | 2026-01-12 | 2026-01-13 | 2026-01-14 | 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 6 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
