source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 159 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 (8 months)
Only 8 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 | -1.33% | -1.77% | -1.38% | -1.98% |
| CVaR (ES) | -1.70% | -2.06% | -1.75% | -2.27% |
| VaR (Cornish-Fisher) | — | — | -1.30% | -1.92% |
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 |
|---|
| -9.08% | 2026-01-28 | 2026-03-30 | 2026-04-14 | 42 | 10 |
| -5.61% | 2026-05-22 | 2026-07-28 | ongoing | 34 | — |
| -2.93% | 2025-12-10 | 2025-12-17 | 2025-12-24 | 5 | 5 |
| -2.81% | 2026-01-09 | 2026-01-20 | 2026-01-27 | 6 | 5 |
| -1.84% | 2025-12-24 | 2026-01-02 | 2026-01-09 | 5 | 5 |
| -1.22% | 2026-05-14 | 2026-05-19 | 2026-05-22 | 3 | 3 |
| -0.98% | 2026-04-24 | 2026-04-28 | 2026-04-30 | 2 | 2 |
| -0.87% | 2026-04-22 | 2026-04-23 | 2026-04-24 | 1 | 1 |
| -0.87% | 2026-05-08 | 2026-05-12 | 2026-05-14 | 2 | 2 |
| -0.77% | 2026-04-17 | 2026-04-21 | 2026-04-22 | 2 | 1 |
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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
