source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 192 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 | -1.27% | -1.76% | -1.16% | -1.66% |
| CVaR (ES) | -1.56% | -1.88% | -1.47% | -1.92% |
| VaR (Cornish-Fisher) | — | — | -1.16% | -1.78% |
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 |
|---|
| -7.82% | 2026-03-02 | 2026-03-20 | 2026-06-26 | 14 | 57 |
| -2.63% | 2025-11-28 | 2025-12-10 | 2026-01-16 | 8 | 25 |
| -2.53% | 2025-11-12 | 2025-11-20 | 2025-11-28 | 6 | 5 |
| -2.41% | 2025-10-20 | 2025-11-06 | 2025-11-12 | 13 | 4 |
| -2.17% | 2026-06-26 | 2026-07-01 | ongoing | 3 | — |
| -1.73% | 2026-01-16 | 2026-01-20 | 2026-01-27 | 1 | 5 |
| -1.20% | 2026-02-17 | 2026-02-18 | 2026-02-23 | 1 | 3 |
| -0.76% | 2025-10-08 | 2025-10-13 | 2025-10-14 | 3 | 1 |
| -0.69% | 2026-01-27 | 2026-01-28 | 2026-01-29 | 1 | 1 |
| -0.53% | 2026-02-24 | 2026-02-25 | 2026-02-27 | 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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
