source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 174 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 | -7.32% | -10.71% | -6.42% | -9.11% |
| CVaR (ES) | -9.33% | -13.39% | -8.07% | -10.45% |
| VaR (Cornish-Fisher) | — | — | -6.93% | -11.08% |
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 |
|---|
| -47.25% | 2026-02-27 | 2026-07-20 | ongoing | 87 | — |
| -20.65% | 2026-01-28 | 2026-02-05 | 2026-02-26 | 6 | 14 |
| -9.31% | 2025-11-12 | 2025-11-20 | 2025-11-26 | 6 | 4 |
| -7.78% | 2025-10-30 | 2025-11-04 | 2025-11-10 | 3 | 4 |
| -7.46% | 2025-12-26 | 2026-01-02 | 2026-01-06 | 4 | 2 |
| -6.18% | 2025-11-28 | 2025-12-08 | 2025-12-11 | 6 | 3 |
| -2.05% | 2025-12-11 | 2025-12-16 | 2025-12-19 | 3 | 3 |
| -1.83% | 2026-01-20 | 2026-01-21 | 2026-01-22 | 1 | 1 |
| -1.33% | 2026-01-06 | 2026-01-07 | 2026-01-09 | 1 | 2 |
| -0.77% | 2025-12-23 | 2025-12-24 | 2025-12-26 | 1 | 1 |
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
