source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 96 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 (5 months)
Only 5 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 | -3.48% | -8.57% | -4.61% | -6.65% |
| CVaR (ES) | -6.83% | -12.33% | -5.86% | -7.66% |
| VaR (Cornish-Fisher) | — | — | -4.19% | -11.61% |
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 |
|---|
| -17.31% | 2026-07-07 | 2026-07-22 | ongoing | 11 | — |
| -12.26% | 2026-05-08 | 2026-06-17 | 2026-07-07 | 17 | 12 |
| -9.36% | 2026-04-20 | 2026-04-24 | 2026-05-08 | 4 | 10 |
| -5.05% | 2026-04-08 | 2026-04-10 | 2026-04-20 | 2 | 6 |
| -3.53% | 2026-02-24 | 2026-02-25 | 2026-03-02 | 1 | 3 |
| -2.51% | 2026-04-02 | 2026-04-07 | 2026-04-08 | 2 | 1 |
| -2.03% | 2026-03-26 | 2026-03-30 | 2026-04-01 | 2 | 2 |
| -2.01% | 2026-03-03 | 2026-03-04 | 2026-03-09 | 1 | 3 |
| -1.97% | 2026-03-09 | 2026-03-11 | 2026-03-12 | 2 | 1 |
| -0.94% | 2026-03-17 | 2026-03-18 | 2026-03-19 | 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 5 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
