source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 77 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 (4 months)
Only 4 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 | -20.91% | -41.52% | -26.83% | -37.60% |
| CVaR (ES) | -38.19% | -67.46% | -33.43% | -42.96% |
| VaR (Cornish-Fisher) | — | — | -28.01% | -55.08% |
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 |
|---|
| -90.96% | 2026-05-04 | 2026-07-21 | ongoing | 43 | — |
| -27.01% | 2026-03-25 | 2026-03-30 | 2026-04-16 | 3 | 12 |
| -18.18% | 2026-04-22 | 2026-04-23 | 2026-05-04 | 1 | 7 |
| -15.20% | 2026-04-17 | 2026-04-20 | 2026-04-21 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 4). 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 4 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
