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 | -4.02% | -5.94% | -3.86% | -5.56% |
| CVaR (ES) | -5.41% | -7.30% | -4.90% | -6.40% |
| VaR (Cornish-Fisher) | — | — | -4.11% | -6.32% |
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 |
|---|
| -22.44% | 2026-02-25 | 2026-03-20 | ongoing | 17 | — |
| -10.85% | 2026-01-29 | 2026-02-05 | 2026-02-23 | 5 | 11 |
| -7.04% | 2025-11-12 | 2025-11-21 | 2025-11-28 | 7 | 4 |
| -2.31% | 2025-12-26 | 2025-12-29 | 2026-01-05 | 1 | 4 |
| -2.17% | 2025-12-11 | 2025-12-16 | 2025-12-19 | 3 | 3 |
| -1.61% | 2026-01-06 | 2026-01-08 | 2026-01-09 | 2 | 1 |
| -0.90% | 2025-12-01 | 2025-12-02 | 2025-12-03 | 1 | 1 |
| -0.90% | 2026-01-15 | 2026-01-16 | 2026-01-20 | 1 | 1 |
| -0.72% | 2025-12-23 | 2025-12-24 | 2025-12-26 | 1 | 1 |
| -0.72% | 2026-01-21 | 2026-01-22 | 2026-01-23 | 1 | 1 |
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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
