source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 129 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 (6 months)
Only 6 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 | -7.39% | -15.09% | -9.59% | -13.65% |
| CVaR (ES) | -13.73% | -25.06% | -12.08% | -15.67% |
| VaR (Cornish-Fisher) | — | — | -10.37% | -27.02% |
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 |
|---|
| -54.63% | 2026-03-04 | 2026-06-10 | ongoing | 58 | — |
| -28.01% | 2026-01-14 | 2026-02-05 | 2026-03-04 | 15 | 18 |
| -2.15% | 2026-01-06 | 2026-01-07 | 2026-01-09 | 1 | 2 |
| -1.99% | 2026-01-09 | 2026-01-12 | 2026-01-13 | 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 6 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
