source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 50 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 (2 months)
Only 2 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)
Insufficient history for a 63-period rolling window on this series.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|
| VaR | -7.76% | -18.63% | -10.83% | -15.65% |
| CVaR (ES) | -15.05% | -25.47% | -13.79% | -18.05% |
| VaR (Cornish-Fisher) | — | — | -11.79% | -22.11% |
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 |
|---|
| -26.53% | 2026-05-01 | 2026-06-12 | 2026-06-29 | 19 | 10 |
| -18.40% | 2026-06-30 | 2026-07-06 | 2026-07-09 | 3 | 3 |
| -11.19% | 2026-07-27 | 2026-07-29 | ongoing | 2 | — |
| -7.21% | 2026-07-20 | 2026-07-23 | 2026-07-27 | 3 | 2 |
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 2 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
