source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 96 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 (5 months)
Only 5 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 | -0.94% | -1.33% | -0.99% | -1.44% |
| CVaR (ES) | -1.19% | -1.36% | -1.27% | -1.66% |
| VaR (Cornish-Fisher) | — | — | -0.98% | -1.38% |
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 |
|---|
| -4.18% | 2026-02-26 | 2026-03-20 | 2026-04-08 | 16 | 12 |
| -3.05% | 2026-05-08 | 2026-05-19 | 2026-06-09 | 7 | 4 |
| -1.74% | 2026-07-01 | 2026-07-23 | ongoing | 15 | — |
| -1.44% | 2026-04-21 | 2026-04-29 | 2026-05-01 | 6 | 2 |
| -1.03% | 2026-06-15 | 2026-06-17 | 2026-06-23 | 2 | 3 |
| -0.56% | 2026-05-01 | 2026-05-04 | 2026-05-05 | 1 | 1 |
| -0.48% | 2026-05-06 | 2026-05-07 | 2026-05-08 | 1 | 1 |
| -0.37% | 2026-04-09 | 2026-04-10 | 2026-04-15 | 1 | 3 |
| -0.24% | 2026-06-09 | 2026-06-10 | 2026-06-11 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 9). 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 5 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
