source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 179 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 (9 months)
Only 9 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 | -0.20% | -0.32% | -0.19% | -0.27% |
| CVaR (ES) | -0.27% | -0.43% | -0.23% | -0.30% |
| VaR (Cornish-Fisher) | — | — | -0.19% | -0.36% |
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 |
|---|
| -1.20% | 2026-02-27 | 2026-03-26 | 2026-06-25 | 19 | 52 |
| -0.65% | 2026-07-07 | 2026-07-30 | ongoing | 17 | — |
| -0.45% | 2025-11-18 | 2025-11-19 | 2025-12-01 | 1 | 7 |
| -0.25% | 2025-10-27 | 2025-10-30 | 2025-11-17 | 3 | 12 |
| -0.20% | 2026-06-25 | 2026-06-26 | 2026-07-01 | 1 | 3 |
| -0.20% | 2026-01-09 | 2026-01-12 | 2026-01-16 | 1 | 4 |
| -0.20% | 2026-01-16 | 2026-01-22 | 2026-01-26 | 3 | 2 |
| -0.15% | 2025-12-03 | 2025-12-09 | 2025-12-16 | 4 | 5 |
| -0.10% | 2026-01-30 | 2026-02-02 | 2026-02-04 | 1 | 2 |
| -0.09% | 2025-12-16 | 2025-12-18 | 2025-12-22 | 2 | 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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
