source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 92 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 (4 months)
Only 4 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 | -1.88% | -2.39% | -1.76% | -2.56% |
| CVaR (ES) | -2.24% | -2.55% | -2.25% | -2.95% |
| VaR (Cornish-Fisher) | — | — | -1.78% | -2.61% |
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 |
|---|
| -5.41% | 2026-03-03 | 2026-03-12 | 2026-04-08 | 7 | 18 |
| -5.08% | 2026-05-06 | 2026-05-19 | 2026-06-16 | 9 | 9 |
| -2.27% | 2026-06-17 | 2026-06-18 | 2026-06-23 | 1 | 2 |
| -2.18% | 2026-07-15 | 2026-07-20 | 2026-07-22 | 3 | 2 |
| -2.11% | 2026-07-07 | 2026-07-08 | 2026-07-14 | 1 | 4 |
| -2.04% | 2026-06-25 | 2026-06-30 | 2026-07-06 | 3 | 3 |
| -1.67% | 2026-04-20 | 2026-05-04 | 2026-05-06 | 10 | 2 |
| -1.49% | 2026-04-14 | 2026-04-15 | 2026-04-20 | 1 | 3 |
| -0.26% | 2026-06-23 | 2026-06-24 | 2026-06-25 | 1 | 1 |
| -0.22% | 2026-07-22 | 2026-07-23 | 2026-07-27 | 1 | 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 4 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
