source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 162 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 | -1.96% | -2.37% | -1.92% | -2.73% |
| CVaR (ES) | -2.20% | -2.59% | -2.41% | -3.13% |
| VaR (Cornish-Fisher) | — | — | -1.86% | -2.62% |
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 |
|---|
| -13.88% | 2025-12-26 | 2026-03-30 | 2026-04-17 | 63 | 13 |
| -7.26% | 2026-06-30 | 2026-07-28 | ongoing | 19 | — |
| -4.27% | 2026-06-15 | 2026-06-25 | 2026-06-30 | 7 | 3 |
| -4.00% | 2025-12-10 | 2025-12-17 | 2025-12-24 | 5 | 5 |
| -2.86% | 2026-05-14 | 2026-06-10 | 2026-06-15 | 8 | 3 |
| -2.69% | 2025-11-17 | 2025-11-20 | 2025-11-25 | 3 | 3 |
| -1.45% | 2026-04-27 | 2026-04-29 | 2026-05-05 | 2 | 4 |
| -0.96% | 2026-04-17 | 2026-04-21 | 2026-04-22 | 2 | 1 |
| -0.68% | 2026-04-22 | 2026-04-23 | 2026-04-24 | 1 | 1 |
| -0.36% | 2025-11-28 | 2025-12-01 | 2025-12-02 | 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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
