source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 218 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 (11 months)
Only 11 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 | -1.84% | -2.97% | -1.86% | -2.68% |
| CVaR (ES) | -2.53% | -3.19% | -2.36% | -3.09% |
| VaR (Cornish-Fisher) | — | — | -1.72% | -2.95% |
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 |
|---|
| -12.95% | 2026-02-25 | 2026-03-30 | 2026-05-06 | 23 | 26 |
| -6.57% | 2026-06-22 | 2026-07-29 | ongoing | 26 | — |
| -4.27% | 2025-11-12 | 2025-11-20 | 2025-12-02 | 6 | 7 |
| -3.74% | 2026-05-06 | 2026-06-10 | 2026-06-11 | 14 | 1 |
| -3.41% | 2025-10-06 | 2025-10-10 | 2025-10-27 | 4 | 11 |
| -2.31% | 2026-01-29 | 2026-02-05 | 2026-02-06 | 5 | 1 |
| -1.88% | 2025-10-27 | 2025-11-04 | 2025-11-11 | 6 | 5 |
| -1.51% | 2025-09-22 | 2025-09-25 | 2025-10-01 | 3 | 4 |
| -1.32% | 2026-01-12 | 2026-01-20 | 2026-01-21 | 5 | 1 |
| -0.97% | 2026-06-15 | 2026-06-17 | 2026-06-18 | 2 | 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 11 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
