source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 109 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 (6 months)
Only 6 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 | -1.55% | -2.29% | -1.70% | -2.41% |
| CVaR (ES) | -2.24% | -3.45% | -2.14% | -2.77% |
| VaR (Cornish-Fisher) | — | — | -1.62% | -3.48% |
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 |
|---|
| -4.76% | 2026-06-23 | 2026-06-29 | ongoing | 4 | — |
| -2.51% | 2026-04-27 | 2026-05-14 | 2026-06-23 | 13 | 16 |
| -1.64% | 2026-03-09 | 2026-03-13 | 2026-03-19 | 4 | 4 |
| -1.56% | 2026-04-14 | 2026-04-15 | 2026-04-27 | 1 | 8 |
| -1.53% | 2026-04-10 | 2026-04-13 | 2026-04-14 | 1 | 1 |
| -1.51% | 2026-03-31 | 2026-04-01 | 2026-04-09 | 1 | 5 |
| -1.36% | 2026-03-26 | 2026-03-30 | 2026-03-31 | 2 | 1 |
| -1.03% | 2026-01-29 | 2026-01-30 | 2026-02-05 | 1 | 4 |
| -0.98% | 2026-02-05 | 2026-02-24 | 2026-03-04 | 12 | 6 |
| -0.17% | 2026-03-04 | 2026-03-05 | 2026-03-06 | 1 | 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 6 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
