source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 158 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 | -1.18% | -2.39% | -1.23% | -1.76% |
| CVaR (ES) | -1.93% | -2.92% | -1.56% | -2.02% |
| VaR (Cornish-Fisher) | — | — | -1.35% | -2.48% |
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 |
|---|
| -9.17% | 2026-01-29 | 2026-04-21 | ongoing | 56 | — |
| -1.74% | 2025-12-11 | 2025-12-17 | 2025-12-23 | 4 | 4 |
| -1.66% | 2025-12-26 | 2025-12-31 | 2026-01-05 | 3 | 2 |
| -0.80% | 2026-01-06 | 2026-01-07 | 2026-01-09 | 1 | 2 |
| -0.78% | 2025-11-28 | 2025-12-01 | 2025-12-04 | 1 | 3 |
| -0.55% | 2025-12-04 | 2025-12-08 | 2025-12-10 | 2 | 2 |
| -0.25% | 2025-12-23 | 2025-12-24 | 2025-12-26 | 1 | 1 |
| -0.04% | 2026-01-15 | 2026-01-16 | 2026-01-20 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 8). 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
