source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 242 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 (12 months)
| Beta | 1.61 | Correlation | 0.37 |
| Up capture | −221.95% | Down capture | 389.01% |
Standard monthly capture ratios over 12 paired month-end total returns vs SPY, computed over the same window as every metric above.
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 | -5.79% | -8.96% | -8.04% | -11.24% |
| CVaR (ES) | -9.83% | -19.40% | -10.00% | -12.83% |
| VaR (Cornish-Fisher) | — | — | -7.55% | -35.29% |
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 |
|---|
| -74.58% | 2025-07-31 | 2026-04-06 | ongoing | 170 | — |
| -7.15% | 2025-07-28 | 2025-07-29 | 2025-07-31 | 1 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 2). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
