source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 120 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 (6 months)
Only 6 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 | -21.49% | -37.66% | -35.38% | -50.63% |
| CVaR (ES) | -34.09% | -50.47% | -44.73% | -58.21% |
| VaR (Cornish-Fisher) | — | — | 16.81% | -8.40% |
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 |
|---|
| -86.70% | 2026-03-30 | 2026-06-15 | 2026-07-29 | 43 | 30 |
| -61.24% | 2026-07-29 | 2026-07-30 | ongoing | 1 | — |
| -43.45% | 2026-02-05 | 2026-03-16 | 2026-03-30 | 26 | 10 |
| -39.96% | 2026-01-22 | 2026-01-28 | 2026-02-04 | 4 | 5 |
Each peak-to-recovery underwater episode, worst depth first (top 4). 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 6 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
