source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 172 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 (8 months)
Only 8 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 | -0.81% | -1.10% | -0.75% | -1.08% |
| CVaR (ES) | -1.02% | -1.32% | -0.95% | -1.24% |
| VaR (Cornish-Fisher) | — | — | -0.73% | -1.19% |
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 |
|---|
| -5.38% | 2026-01-28 | 2026-03-30 | 2026-04-14 | 42 | 10 |
| -2.47% | 2025-11-12 | 2025-11-20 | 2025-11-26 | 6 | 4 |
| -1.63% | 2026-01-12 | 2026-01-20 | 2026-01-27 | 5 | 5 |
| -1.33% | 2025-12-10 | 2025-12-17 | 2025-12-22 | 5 | 3 |
| -1.20% | 2026-06-15 | 2026-06-24 | 2026-07-06 | 6 | 7 |
| -1.04% | 2026-07-15 | 2026-07-23 | ongoing | 6 | — |
| -0.97% | 2026-05-22 | 2026-06-10 | 2026-06-12 | 2 | 2 |
| -0.75% | 2025-11-03 | 2025-11-07 | 2025-11-10 | 4 | 1 |
| -0.73% | 2026-05-14 | 2026-05-19 | 2026-05-22 | 3 | 3 |
| -0.60% | 2025-12-24 | 2025-12-31 | 2026-01-06 | 4 | 3 |
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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
