source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 148 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 (7 months)
Only 7 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 | -2.33% | -3.06% | -2.37% | -3.40% |
| CVaR (ES) | -2.79% | -3.16% | -3.00% | -3.91% |
| VaR (Cornish-Fisher) | — | — | -2.37% | -3.32% |
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 |
|---|
| -14.47% | 2026-01-28 | 2026-03-30 | 2026-04-14 | 42 | 10 |
| -7.84% | 2026-06-30 | 2026-07-28 | ongoing | 19 | — |
| -6.05% | 2025-12-10 | 2025-12-17 | 2026-01-06 | 5 | 12 |
| -4.60% | 2026-06-15 | 2026-06-26 | 2026-06-30 | 8 | 2 |
| -4.28% | 2026-01-12 | 2026-01-20 | 2026-01-28 | 5 | 6 |
| -3.07% | 2026-05-14 | 2026-05-19 | 2026-06-09 | 3 | 4 |
| -2.30% | 2026-06-09 | 2026-06-10 | 2026-06-11 | 1 | 1 |
| -1.75% | 2026-04-27 | 2026-04-28 | 2026-05-01 | 1 | 3 |
| -1.30% | 2026-01-06 | 2026-01-08 | 2026-01-12 | 2 | 2 |
| -0.76% | 2026-04-22 | 2026-04-23 | 2026-04-24 | 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 7 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
