source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 159 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 | -1.37% | -2.17% | -1.30% | -1.86% |
| CVaR (ES) | -1.89% | -2.68% | -1.64% | -2.14% |
| VaR (Cornish-Fisher) | — | — | -1.33% | -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 |
|---|
| -9.58% | 2026-02-26 | 2026-03-20 | ongoing | 16 | — |
| -1.34% | 2025-12-19 | 2025-12-22 | 2026-01-02 | 1 | 7 |
| -1.01% | 2025-12-15 | 2025-12-17 | 2025-12-19 | 2 | 2 |
| -0.89% | 2026-01-16 | 2026-01-20 | 2026-01-22 | 1 | 2 |
| -0.82% | 2026-02-04 | 2026-02-05 | 2026-02-06 | 1 | 1 |
| -0.54% | 2026-02-20 | 2026-02-23 | 2026-02-24 | 1 | 1 |
| -0.53% | 2025-12-04 | 2025-12-08 | 2025-12-10 | 2 | 2 |
| -0.50% | 2026-02-09 | 2026-02-12 | 2026-02-13 | 3 | 1 |
| -0.39% | 2026-02-13 | 2026-02-17 | 2026-02-20 | 1 | 3 |
| -0.35% | 2025-12-11 | 2025-12-12 | 2025-12-15 | 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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
