source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 197 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 | -1.29% | -1.58% | -1.21% | -1.72% |
| CVaR (ES) | -1.48% | -1.77% | -1.52% | -1.97% |
| VaR (Cornish-Fisher) | — | — | -1.18% | -1.68% |
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 |
|---|
| -8.40% | 2026-02-27 | 2026-03-27 | ongoing | 20 | — |
| -4.48% | 2025-10-03 | 2025-11-20 | 2025-12-11 | 34 | 14 |
| -2.50% | 2025-12-24 | 2026-01-20 | 2026-01-30 | 16 | 8 |
| -1.02% | 2026-02-18 | 2026-02-23 | 2026-02-26 | 3 | 3 |
| -0.99% | 2026-02-06 | 2026-02-09 | 2026-02-11 | 1 | 2 |
| -0.92% | 2026-02-04 | 2026-02-05 | 2026-02-06 | 1 | 1 |
| -0.70% | 2026-02-11 | 2026-02-12 | 2026-02-13 | 1 | 1 |
| -0.64% | 2025-12-15 | 2025-12-19 | 2025-12-22 | 4 | 1 |
| -0.48% | 2025-09-29 | 2025-10-02 | 2025-10-03 | 3 | 1 |
| -0.14% | 2026-02-13 | 2026-02-17 | 2026-02-18 | 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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
