source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 176 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 | -0.04% | -0.09% | -0.04% | -0.07% |
| CVaR (ES) | -0.07% | -0.14% | -0.06% | -0.08% |
| VaR (Cornish-Fisher) | — | — | -0.05% | -0.12% |
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 |
|---|
| -0.20% | 2026-05-21 | 2026-06-09 | 2026-06-24 | 2 | 10 |
| -0.13% | 2025-11-07 | 2025-11-10 | 2025-11-20 | 1 | 8 |
| -0.09% | 2026-07-16 | 2026-07-20 | 2026-07-22 | 2 | 2 |
| -0.08% | 2025-10-28 | 2025-10-30 | 2025-11-04 | 2 | 3 |
| -0.07% | 2026-04-20 | 2026-04-21 | 2026-04-22 | 1 | 1 |
| -0.06% | 2026-04-09 | 2026-04-10 | 2026-04-15 | 1 | 3 |
| -0.05% | 2026-07-10 | 2026-07-13 | 2026-07-16 | 1 | 3 |
| -0.05% | 2026-05-15 | 2026-05-19 | 2026-05-20 | 2 | 1 |
| -0.03% | 2026-02-27 | 2026-03-02 | 2026-03-04 | 1 | 2 |
| -0.03% | 2026-02-03 | 2026-02-05 | 2026-02-06 | 2 | 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
