source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 42 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 (2 months)
Only 2 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 | -12.45% | -17.29% | -13.28% | -18.15% |
| CVaR (ES) | -15.41% | -19.13% | -16.27% | -20.57% |
| VaR (Cornish-Fisher) | — | — | -13.20% | -18.45% |
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 |
|---|
| -59.81% | 2026-05-21 | 2026-07-29 | ongoing | 36 | — |
| -11.50% | 2026-05-15 | 2026-05-19 | 2026-05-21 | 2 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 2). 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 2 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
