source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 231 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 (11 months)
Only 11 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 | -0.33% | -0.60% | -0.35% | -0.50% |
| CVaR (ES) | -0.50% | -0.73% | -0.44% | -0.58% |
| VaR (Cornish-Fisher) | — | — | -0.35% | -0.63% |
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 |
|---|
| -2.51% | 2026-02-19 | 2026-03-30 | ongoing | 27 | — |
| -1.44% | 2025-09-22 | 2025-10-10 | 2025-10-27 | 14 | 11 |
| -1.10% | 2025-10-27 | 2025-11-17 | 2025-11-28 | 15 | 8 |
| -0.47% | 2025-08-13 | 2025-08-21 | 2025-08-22 | 6 | 1 |
| -0.33% | 2026-01-22 | 2026-02-05 | 2026-02-09 | 10 | 2 |
| -0.32% | 2025-08-28 | 2025-09-02 | 2025-09-08 | 2 | 4 |
| -0.25% | 2025-12-05 | 2025-12-09 | 2025-12-10 | 2 | 1 |
| -0.24% | 2025-12-10 | 2025-12-17 | 2025-12-18 | 5 | 1 |
| -0.19% | 2026-01-16 | 2026-01-20 | 2026-01-21 | 1 | 1 |
| -0.17% | 2025-09-15 | 2025-09-17 | 2025-09-18 | 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 11 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
