source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 84 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 (4 months)
Only 4 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 | -13.56% | -16.12% | -16.43% | -23.00% |
| CVaR (ES) | -16.04% | -23.29% | -20.46% | -26.27% |
| VaR (Cornish-Fisher) | — | — | -13.91% | -16.64% |
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 |
|---|
| -66.27% | 2026-05-01 | 2026-07-16 | ongoing | 41 | — |
| -40.58% | 2026-03-12 | 2026-03-30 | 2026-04-22 | 12 | 16 |
| -11.68% | 2026-04-24 | 2026-04-29 | 2026-05-01 | 3 | 2 |
| -5.94% | 2026-04-22 | 2026-04-23 | 2026-04-24 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 4). 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 4 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
