source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 239 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 (12 months)
| Beta | 1.50 | Correlation | 0.37 |
| Up capture | −176.25% | Down capture | 600.35% |
Standard monthly capture ratios over 12 paired month-end total returns vs SPY, computed over the same window as every metric above.
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 | -7.13% | -17.53% | -8.88% | -12.40% |
| CVaR (ES) | -13.91% | -26.27% | -11.04% | -14.16% |
| VaR (Cornish-Fisher) | — | — | -10.10% | -23.65% |
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 |
|---|
| -72.82% | 2025-08-12 | 2026-07-29 | ongoing | 231 | — |
| -11.20% | 2025-07-31 | 2025-08-04 | 2025-08-06 | 2 | 2 |
| -3.83% | 2025-08-06 | 2025-08-08 | 2025-08-11 | 2 | 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.
