source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 86 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 | -8.00% | -12.70% | -9.31% | -13.31% |
| CVaR (ES) | -11.12% | -17.15% | -11.76% | -15.29% |
| VaR (Cornish-Fisher) | — | — | -7.05% | -13.35% |
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 |
|---|
| -31.21% | 2026-03-12 | 2026-03-20 | 2026-04-09 | 6 | 13 |
| -25.67% | 2026-04-16 | 2026-06-15 | 2026-07-01 | 31 | 11 |
| -12.64% | 2026-07-21 | 2026-07-24 | ongoing | 3 | — |
| -9.03% | 2026-07-09 | 2026-07-13 | 2026-07-14 | 2 | 1 |
| -8.23% | 2026-07-07 | 2026-07-08 | 2026-07-09 | 1 | 1 |
| -3.26% | 2026-04-09 | 2026-04-10 | 2026-04-14 | 1 | 2 |
| -2.42% | 2026-07-14 | 2026-07-16 | 2026-07-17 | 2 | 1 |
| -0.60% | 2026-07-02 | 2026-07-06 | 2026-07-07 | 1 | 1 |
| -0.45% | 2026-04-14 | 2026-04-15 | 2026-04-16 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 9). 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
