source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 169 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 | -0.38% | -0.55% | -0.36% | -0.51% |
| CVaR (ES) | -0.50% | -0.56% | -0.46% | -0.59% |
| VaR (Cornish-Fisher) | — | — | -0.35% | -0.60% |
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 |
|---|
| -2.32% | 2026-02-26 | 2026-03-24 | 2026-06-09 | 18 | 43 |
| -1.98% | 2026-07-02 | 2026-07-23 | ongoing | 14 | — |
| -0.77% | 2025-11-26 | 2025-12-03 | 2025-12-31 | 4 | 19 |
| -0.72% | 2025-11-11 | 2025-11-14 | 2025-11-26 | 3 | 8 |
| -0.61% | 2026-01-14 | 2026-01-20 | 2026-02-03 | 3 | 10 |
| -0.17% | 2026-02-24 | 2026-02-25 | 2026-02-26 | 1 | 1 |
| -0.17% | 2026-02-05 | 2026-02-06 | 2026-02-09 | 1 | 1 |
| -0.16% | 2026-02-10 | 2026-02-11 | 2026-02-12 | 1 | 1 |
| -0.11% | 2026-06-24 | 2026-06-25 | 2026-06-26 | 1 | 1 |
| -0.11% | 2026-01-09 | 2026-01-12 | 2026-01-14 | 1 | 2 |
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
