source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 152 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 | -2.31% | -3.14% | -2.92% | -4.12% |
| CVaR (ES) | -2.84% | -3.58% | -3.66% | -4.72% |
| VaR (Cornish-Fisher) | — | — | -0.62% | -2.36% |
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 |
|---|
| -21.44% | 2026-02-20 | 2026-07-27 | ongoing | 97 | — |
| -6.85% | 2025-12-04 | 2025-12-15 | 2025-12-30 | 7 | 10 |
| -4.78% | 2026-01-22 | 2026-02-09 | 2026-02-20 | 12 | 8 |
| -0.96% | 2026-01-12 | 2026-01-15 | 2026-01-22 | 3 | 4 |
| -0.96% | 2026-01-02 | 2026-01-05 | 2026-01-07 | 1 | 2 |
| -0.07% | 2025-12-30 | 2025-12-31 | 2026-01-02 | 1 | 1 |
| -0.00% | 2026-01-08 | 2026-01-09 | 2026-01-12 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 7). 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
