source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 92 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 (4 months)
Only 4 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 | -0.63% | -0.75% | -0.53% | -0.76% |
| CVaR (ES) | -0.69% | -0.77% | -0.67% | -0.88% |
| VaR (Cornish-Fisher) | — | — | -0.46% | -0.82% |
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 |
|---|
| -3.09% | 2026-03-04 | 2026-03-30 | 2026-04-09 | 18 | 7 |
| -0.66% | 2026-05-14 | 2026-06-10 | 2026-06-12 | 8 | 2 |
| -0.48% | 2026-07-10 | 2026-07-23 | ongoing | 9 | — |
| -0.48% | 2026-06-18 | 2026-06-23 | 2026-06-30 | 2 | 5 |
| -0.41% | 2026-06-16 | 2026-06-17 | 2026-06-18 | 1 | 1 |
| -0.31% | 2026-05-01 | 2026-05-04 | 2026-05-05 | 1 | 1 |
| -0.24% | 2026-03-02 | 2026-03-03 | 2026-03-04 | 1 | 1 |
| -0.21% | 2026-04-17 | 2026-04-21 | 2026-04-22 | 2 | 1 |
| -0.18% | 2026-04-22 | 2026-04-23 | 2026-04-24 | 1 | 1 |
| -0.18% | 2026-07-06 | 2026-07-07 | 2026-07-09 | 1 | 2 |
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 4 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
