source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 32 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 (1 months)
Only 1 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 | -3.09% | -5.38% | -3.12% | -4.53% |
| CVaR (ES) | -4.89% | -6.17% | -3.98% | -5.23% |
| VaR (Cornish-Fisher) | — | — | -3.38% | -6.19% |
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 |
|---|
| -7.62% | 2026-07-09 | 2026-07-16 | ongoing | 5 | — |
| -2.66% | 2026-07-07 | 2026-07-08 | 2026-07-09 | 1 | 1 |
| -0.60% | 2026-06-29 | 2026-06-30 | 2026-07-01 | 1 | 1 |
| -0.55% | 2026-06-11 | 2026-06-18 | 2026-06-25 | 5 | 4 |
| -0.33% | 2026-06-25 | 2026-06-26 | 2026-06-29 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 5). 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 1 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
