source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 172 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 (8 months)
Only 8 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 | -4.15% | -8.38% | -4.65% | -6.61% |
| CVaR (ES) | -6.85% | -12.10% | -5.86% | -7.59% |
| VaR (Cornish-Fisher) | — | — | -5.01% | -9.64% |
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 |
|---|
| -32.62% | 2026-01-27 | 2026-06-10 | ongoing | 83 | — |
| -7.09% | 2025-11-11 | 2025-11-24 | 2025-12-09 | 9 | 10 |
| -4.96% | 2025-12-09 | 2025-12-17 | 2026-01-05 | 6 | 11 |
| -4.05% | 2025-11-03 | 2025-11-04 | 2025-11-10 | 1 | 4 |
| -1.89% | 2026-01-23 | 2026-01-26 | 2026-01-27 | 1 | 1 |
| -1.55% | 2026-01-12 | 2026-01-14 | 2026-01-15 | 2 | 1 |
| -0.73% | 2026-01-15 | 2026-01-20 | 2026-01-21 | 2 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 7). 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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
