source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 216 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 (10 months)
Only 10 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 | -0.38% | -0.60% | -0.37% | -0.53% |
| CVaR (ES) | -0.53% | -0.65% | -0.47% | -0.62% |
| 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 |
|---|
| -2.29% | 2026-02-25 | 2026-03-30 | 2026-04-08 | 23 | 6 |
| -1.62% | 2025-10-27 | 2025-11-20 | 2025-12-05 | 18 | 10 |
| -0.96% | 2025-10-06 | 2025-10-10 | 2025-10-23 | 4 | 9 |
| -0.66% | 2026-02-02 | 2026-02-05 | 2026-02-09 | 3 | 2 |
| -0.58% | 2026-01-16 | 2026-01-20 | 2026-01-27 | 1 | 5 |
| -0.56% | 2026-02-09 | 2026-02-17 | 2026-02-25 | 5 | 6 |
| -0.43% | 2025-09-22 | 2025-09-25 | 2025-09-30 | 3 | 3 |
| -0.43% | 2025-12-11 | 2025-12-17 | 2025-12-19 | 4 | 2 |
| -0.41% | 2026-06-16 | 2026-06-25 | 2026-07-01 | 6 | 4 |
| -0.31% | 2025-09-15 | 2025-09-16 | 2025-09-22 | 1 | 4 |
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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
