source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 150 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 | -1.63% | -2.28% | -1.66% | -2.40% |
| CVaR (ES) | -2.01% | -2.38% | -2.11% | -2.77% |
| VaR (Cornish-Fisher) | — | — | -1.26% | -2.28% |
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 |
|---|
| -4.43% | 2026-01-22 | 2026-02-05 | 2026-02-19 | 10 | 9 |
| -4.29% | 2026-02-19 | 2026-03-12 | 2026-03-20 | 15 | 6 |
| -4.21% | 2026-04-09 | 2026-04-16 | 2026-06-09 | 5 | 27 |
| -3.89% | 2026-03-20 | 2026-03-30 | 2026-04-02 | 6 | 3 |
| -2.77% | 2025-12-08 | 2025-12-12 | 2025-12-30 | 4 | 11 |
| -2.48% | 2026-01-06 | 2026-01-07 | 2026-01-21 | 1 | 9 |
| -2.39% | 2026-06-26 | 2026-07-23 | ongoing | 18 | — |
| -2.07% | 2025-12-31 | 2026-01-02 | 2026-01-06 | 1 | 2 |
| -1.56% | 2026-06-17 | 2026-06-22 | 2026-06-26 | 2 | 4 |
| -1.43% | 2025-12-04 | 2025-12-05 | 2025-12-08 | 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
