source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 167 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 | -0.34% | -0.58% | -0.35% | -0.50% |
| CVaR (ES) | -0.48% | -0.69% | -0.44% | -0.57% |
| VaR (Cornish-Fisher) | — | — | -0.35% | -0.63% |
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 |
|---|
| -2.76% | 2026-02-27 | 2026-03-27 | 2026-06-24 | 20 | 50 |
| -1.71% | 2026-07-06 | 2026-07-23 | ongoing | 13 | — |
| -0.63% | 2025-11-28 | 2025-12-09 | 2025-12-29 | 7 | 13 |
| -0.63% | 2025-11-11 | 2025-11-14 | 2025-11-28 | 3 | 9 |
| -0.40% | 2026-01-15 | 2026-01-20 | 2026-01-26 | 2 | 4 |
| -0.23% | 2026-01-28 | 2026-01-30 | 2026-02-02 | 2 | 1 |
| -0.23% | 2026-02-05 | 2026-02-06 | 2026-02-09 | 1 | 1 |
| -0.23% | 2026-02-17 | 2026-02-19 | 2026-02-20 | 2 | 1 |
| -0.14% | 2025-12-29 | 2025-12-30 | 2026-01-02 | 1 | 2 |
| -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
