source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 146 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 | -0.61% | -0.84% | -0.71% | -1.04% |
| CVaR (ES) | -0.77% | -0.91% | -0.91% | -1.20% |
| VaR (Cornish-Fisher) | — | — | -0.63% | -0.85% |
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 |
|---|
| -1.58% | 2026-06-15 | 2026-06-24 | 2026-07-21 | 6 | 18 |
| -1.47% | 2026-04-10 | 2026-04-14 | 2026-04-24 | 2 | 8 |
| -1.32% | 2026-05-18 | 2026-06-10 | 2026-06-12 | 6 | 2 |
| -1.28% | 2026-02-03 | 2026-02-05 | 2026-02-06 | 2 | 1 |
| -1.12% | 2026-03-10 | 2026-03-13 | 2026-03-17 | 3 | 2 |
| -0.81% | 2026-01-14 | 2026-01-20 | 2026-01-27 | 3 | 5 |
| -0.80% | 2026-07-22 | 2026-07-28 | ongoing | 4 | — |
| -0.76% | 2026-02-10 | 2026-02-17 | 2026-02-20 | 4 | 3 |
| -0.74% | 2026-01-29 | 2026-01-30 | 2026-02-03 | 1 | 2 |
| -0.61% | 2026-03-02 | 2026-03-03 | 2026-03-04 | 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
