source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 226 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 (11 months)
Only 11 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 | -1.10% | -1.47% | -0.93% | -1.34% |
| CVaR (ES) | -1.38% | -1.76% | -1.18% | -1.55% |
| VaR (Cornish-Fisher) | — | — | -0.93% | -1.67% |
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 |
|---|
| -6.98% | 2026-02-02 | 2026-03-30 | 2026-05-06 | 39 | 26 |
| -3.42% | 2025-11-12 | 2025-11-20 | 2025-11-28 | 6 | 5 |
| -2.11% | 2025-10-06 | 2025-10-10 | 2025-10-20 | 4 | 6 |
| -2.02% | 2026-06-15 | 2026-06-25 | 2026-07-06 | 7 | 6 |
| -1.96% | 2026-01-12 | 2026-01-20 | 2026-01-23 | 5 | 3 |
| -1.79% | 2026-07-22 | 2026-07-29 | ongoing | 5 | — |
| -1.70% | 2025-12-11 | 2025-12-17 | 2025-12-19 | 4 | 2 |
| -1.42% | 2026-05-14 | 2026-06-10 | 2026-06-12 | 8 | 2 |
| -0.90% | 2025-08-28 | 2025-09-02 | 2025-09-04 | 2 | 2 |
| -0.89% | 2025-10-29 | 2025-11-06 | 2025-11-10 | 6 | 2 |
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 11 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
