source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 141 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 | -0.20% | -0.56% | -0.48% | -0.69% |
| CVaR (ES) | -0.57% | -1.30% | -0.61% | -0.79% |
| VaR (Cornish-Fisher) | — | — | -0.14% | -2.88% |
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 |
|---|
| -2.20% | 2026-04-24 | 2026-05-05 | 2026-07-01 | 7 | 29 |
| -0.80% | 2026-02-26 | 2026-03-25 | 2026-04-21 | 19 | 18 |
| -0.60% | 2025-12-17 | 2025-12-19 | 2026-02-06 | 2 | 32 |
| -0.60% | 2026-02-10 | 2026-02-12 | 2026-02-26 | 2 | 9 |
| -0.29% | 2026-07-01 | 2026-07-06 | ongoing | 2 | — |
Each peak-to-recovery underwater episode, worst depth first (top 5). 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
