source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 202 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 | -0.75% | -0.98% | -0.61% | -0.88% |
| CVaR (ES) | -0.90% | -1.13% | -0.78% | -1.01% |
| VaR (Cornish-Fisher) | — | — | -0.60% | -1.07% |
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 |
|---|
| -4.23% | 2026-02-25 | 2026-03-30 | 2026-04-13 | 23 | 9 |
| -2.50% | 2025-10-27 | 2025-11-20 | 2025-11-28 | 18 | 5 |
| -1.48% | 2025-10-06 | 2025-10-10 | 2025-10-20 | 4 | 6 |
| -1.14% | 2026-01-12 | 2026-01-20 | 2026-01-27 | 5 | 5 |
| -1.05% | 2026-02-02 | 2026-02-05 | 2026-02-09 | 3 | 2 |
| -1.00% | 2025-12-11 | 2025-12-17 | 2025-12-22 | 4 | 3 |
| -0.95% | 2026-02-09 | 2026-02-13 | 2026-02-25 | 4 | 7 |
| -0.61% | 2026-06-15 | 2026-06-26 | 2026-06-30 | 8 | 2 |
| -0.59% | 2026-05-22 | 2026-06-10 | 2026-06-12 | 2 | 2 |
| -0.52% | 2025-09-22 | 2025-09-25 | 2025-09-30 | 3 | 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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
