source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 192 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 (9 months)
Only 9 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 | -0.58% | -1.05% | -0.61% | -0.87% |
| CVaR (ES) | -0.82% | -1.17% | -0.77% | -1.01% |
| VaR (Cornish-Fisher) | — | — | -0.59% | -1.00% |
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 |
|---|
| -5.14% | 2026-02-25 | 2026-03-30 | 2026-04-17 | 23 | 13 |
| -2.19% | 2026-04-17 | 2026-05-19 | ongoing | 22 | — |
| -1.01% | 2025-10-06 | 2025-10-10 | 2025-10-16 | 4 | 4 |
| -0.87% | 2025-10-28 | 2025-11-04 | 2025-11-10 | 5 | 4 |
| -0.80% | 2025-12-03 | 2025-12-09 | 2025-12-23 | 4 | 10 |
| -0.53% | 2026-01-29 | 2026-02-05 | 2026-02-09 | 5 | 2 |
| -0.42% | 2025-11-12 | 2025-11-20 | 2025-11-25 | 6 | 3 |
| -0.40% | 2026-01-06 | 2026-01-08 | 2026-01-21 | 2 | 8 |
| -0.34% | 2025-10-20 | 2025-10-22 | 2025-10-27 | 2 | 3 |
| -0.25% | 2025-12-24 | 2025-12-29 | 2026-01-05 | 2 | 4 |
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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
