source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 131 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 | -1.03% | -1.62% | -1.06% | -1.51% |
| CVaR (ES) | -1.42% | -1.94% | -1.33% | -1.73% |
| VaR (Cornish-Fisher) | — | — | -0.94% | -1.89% |
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 |
|---|
| -5.65% | 2026-01-27 | 2026-03-30 | 2026-04-13 | 43 | 9 |
| -4.35% | 2026-06-26 | 2026-07-28 | ongoing | 21 | — |
| -1.16% | 2026-01-12 | 2026-01-20 | 2026-01-23 | 5 | 3 |
| -0.28% | 2026-04-20 | 2026-04-21 | 2026-04-22 | 1 | 1 |
| -0.20% | 2026-01-07 | 2026-01-08 | 2026-01-09 | 1 | 1 |
| -0.12% | 2026-05-08 | 2026-05-11 | 2026-05-12 | 1 | 1 |
| -0.12% | 2026-04-22 | 2026-04-23 | 2026-04-24 | 1 | 1 |
| -0.11% | 2026-06-09 | 2026-06-10 | 2026-06-11 | 1 | 1 |
| -0.10% | 2026-04-27 | 2026-04-28 | 2026-04-30 | 1 | 2 |
| -0.10% | 2026-05-12 | 2026-05-13 | 2026-05-15 | 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 6 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
