source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 146 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 (7 months)
Only 7 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 | -1.07% | -1.65% | -1.06% | -1.54% |
| CVaR (ES) | -1.46% | -2.00% | -1.36% | -1.78% |
| VaR (Cornish-Fisher) | — | — | -1.06% | -1.80% |
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 |
|---|
| -5.86% | 2026-03-02 | 2026-03-20 | 2026-04-09 | 14 | 13 |
| -2.37% | 2026-04-09 | 2026-04-22 | 2026-04-30 | 9 | 6 |
| -2.34% | 2026-06-26 | 2026-07-01 | 2026-07-23 | 3 | 15 |
| -1.80% | 2026-06-15 | 2026-06-17 | 2026-06-26 | 2 | 6 |
| -1.73% | 2026-04-30 | 2026-06-09 | 2026-06-12 | 17 | 3 |
| -1.60% | 2025-12-15 | 2025-12-19 | 2026-01-06 | 4 | 10 |
| -1.30% | 2026-07-24 | 2026-07-28 | ongoing | 2 | — |
| -0.75% | 2026-02-17 | 2026-02-18 | 2026-02-20 | 1 | 2 |
| -0.49% | 2026-01-16 | 2026-01-20 | 2026-01-21 | 1 | 1 |
| -0.43% | 2026-01-06 | 2026-01-07 | 2026-01-12 | 1 | 3 |
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 7 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
