source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 170 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 | -0.59% | -0.94% | -0.59% | -0.85% |
| CVaR (ES) | -0.83% | -1.03% | -0.75% | -0.98% |
| VaR (Cornish-Fisher) | — | — | -0.59% | -0.95% |
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 |
|---|
| -4.41% | 2026-02-27 | 2026-03-27 | 2026-05-06 | 20 | 27 |
| -1.54% | 2025-11-12 | 2025-11-20 | 2025-11-28 | 6 | 5 |
| -1.43% | 2026-05-06 | 2026-05-19 | 2026-06-11 | 9 | 6 |
| -1.08% | 2026-07-06 | 2026-07-20 | ongoing | 10 | — |
| -0.85% | 2026-06-22 | 2026-06-23 | 2026-07-06 | 1 | 8 |
| -0.77% | 2026-01-15 | 2026-01-20 | 2026-01-23 | 2 | 3 |
| -0.45% | 2025-12-11 | 2025-12-17 | 2025-12-19 | 4 | 2 |
| -0.37% | 2025-11-28 | 2025-12-09 | 2025-12-10 | 7 | 1 |
| -0.32% | 2026-01-29 | 2026-01-30 | 2026-02-04 | 1 | 3 |
| -0.29% | 2026-06-15 | 2026-06-17 | 2026-06-22 | 2 | 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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
