source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 197 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 (10 months)
Only 10 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 | -0.24% | -0.43% | -0.25% | -0.36% |
| CVaR (ES) | -0.36% | -0.48% | -0.32% | -0.42% |
| VaR (Cornish-Fisher) | — | — | -0.26% | -0.41% |
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 |
|---|
| -2.37% | 2026-02-27 | 2026-03-27 | 2026-06-12 | 20 | 43 |
| -0.92% | 2026-07-06 | 2026-07-24 | ongoing | 14 | — |
| -0.56% | 2025-10-28 | 2025-11-20 | 2025-11-28 | 17 | 5 |
| -0.52% | 2025-10-01 | 2025-10-10 | 2025-10-15 | 7 | 3 |
| -0.39% | 2026-06-15 | 2026-06-17 | 2026-06-30 | 2 | 8 |
| -0.38% | 2025-12-03 | 2025-12-09 | 2025-12-19 | 4 | 8 |
| -0.24% | 2026-01-29 | 2026-01-30 | 2026-02-06 | 1 | 5 |
| -0.21% | 2026-01-13 | 2026-01-20 | 2026-01-23 | 4 | 3 |
| -0.19% | 2025-11-28 | 2025-12-01 | 2025-12-02 | 1 | 1 |
| -0.16% | 2026-02-17 | 2026-02-19 | 2026-02-26 | 2 | 5 |
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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
