source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 164 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 | -1.44% | -1.82% | -1.32% | -1.92% |
| CVaR (ES) | -1.68% | -1.87% | -1.69% | -2.22% |
| VaR (Cornish-Fisher) | — | — | -1.27% | -1.96% |
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 |
|---|
| -7.88% | 2026-02-06 | 2026-03-30 | 2026-04-14 | 35 | 10 |
| -2.23% | 2026-01-06 | 2026-01-20 | 2026-02-02 | 9 | 9 |
| -1.90% | 2026-05-14 | 2026-05-19 | 2026-05-22 | 3 | 3 |
| -1.83% | 2026-06-25 | 2026-07-29 | 2026-07-30 | 23 | 1 |
| -1.61% | 2026-05-06 | 2026-05-07 | 2026-05-13 | 1 | 4 |
| -1.59% | 2025-12-05 | 2025-12-09 | 2025-12-11 | 2 | 2 |
| -1.56% | 2026-02-03 | 2026-02-05 | 2026-02-06 | 2 | 1 |
| -1.49% | 2026-06-22 | 2026-06-23 | 2026-06-25 | 1 | 2 |
| -1.37% | 2025-12-11 | 2025-12-17 | 2025-12-22 | 4 | 3 |
| -1.24% | 2026-06-09 | 2026-06-10 | 2026-06-11 | 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
