source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 195 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 (9 months)
Only 9 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 | -4.32% | -5.62% | -4.11% | -5.94% |
| CVaR (ES) | -5.19% | -6.62% | -5.23% | -6.85% |
| VaR (Cornish-Fisher) | — | — | -4.23% | -6.18% |
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 |
|---|
| -22.83% | 2026-06-22 | 2026-07-28 | ongoing | 25 | — |
| -15.15% | 2026-02-25 | 2026-03-30 | 2026-04-08 | 23 | 6 |
| -14.70% | 2025-10-29 | 2025-11-21 | 2026-01-15 | 17 | 36 |
| -8.08% | 2026-01-28 | 2026-02-04 | 2026-02-11 | 5 | 5 |
| -7.09% | 2026-05-11 | 2026-05-19 | 2026-05-21 | 6 | 2 |
| -5.91% | 2025-10-09 | 2025-10-10 | 2025-10-24 | 1 | 10 |
| -4.28% | 2026-06-15 | 2026-06-16 | 2026-06-18 | 1 | 2 |
| -3.85% | 2026-06-09 | 2026-06-10 | 2026-06-11 | 1 | 1 |
| -3.07% | 2026-04-27 | 2026-04-28 | 2026-04-30 | 1 | 2 |
| -2.57% | 2026-02-11 | 2026-02-17 | 2026-02-24 | 3 | 5 |
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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
