source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 77 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 | -1.05% | -1.43% | -1.36% | -2.03% |
| CVaR (ES) | -1.36% | -1.76% | -1.77% | -2.36% |
| VaR (Cornish-Fisher) | — | — | -1.27% | -1.66% |
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 |
|---|
| -4.29% | 2026-05-06 | 2026-05-19 | 2026-06-09 | 9 | 4 |
| -3.01% | 2026-03-25 | 2026-03-30 | 2026-04-01 | 3 | 2 |
| -2.80% | 2026-06-30 | 2026-07-08 | ongoing | 5 | — |
| -1.54% | 2026-04-27 | 2026-04-29 | 2026-04-30 | 2 | 1 |
| -1.48% | 2026-06-12 | 2026-06-17 | 2026-06-18 | 3 | 1 |
| -1.00% | 2026-05-01 | 2026-05-04 | 2026-05-05 | 1 | 1 |
| -0.81% | 2026-04-20 | 2026-04-21 | 2026-04-27 | 1 | 4 |
| -0.79% | 2026-04-09 | 2026-04-10 | 2026-04-13 | 1 | 1 |
| -0.58% | 2026-06-09 | 2026-06-10 | 2026-06-11 | 1 | 1 |
| -0.15% | 2026-04-14 | 2026-04-15 | 2026-04-16 | 1 | 1 |
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
