source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 54 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 (3 months)
Only 3 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)
Insufficient history for a 63-period rolling window on this series.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|
| VaR | -7.67% | -10.50% | -9.71% | -13.65% |
| CVaR (ES) | -9.77% | -11.68% | -12.13% | -15.61% |
| VaR (Cornish-Fisher) | — | — | -5.18% | -8.63% |
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 |
|---|
| -30.96% | 2026-06-15 | 2026-07-24 | ongoing | 27 | — |
| -24.46% | 2026-04-23 | 2026-05-19 | 2026-06-09 | 18 | 4 |
| -0.96% | 2026-06-09 | 2026-06-10 | 2026-06-11 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 3). 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 3 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
