source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 198 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 | -0.55% | -0.91% | -0.60% | -0.86% |
| CVaR (ES) | -0.78% | -1.06% | -0.76% | -0.99% |
| VaR (Cornish-Fisher) | — | — | -0.60% | -0.88% |
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 |
|---|
| -4.41% | 2026-02-27 | 2026-03-27 | 2026-07-02 | 20 | 56 |
| -2.36% | 2025-11-26 | 2025-12-09 | 2026-01-30 | 8 | 35 |
| -1.76% | 2026-07-07 | 2026-07-23 | ongoing | 12 | — |
| -1.74% | 2025-10-27 | 2025-11-03 | 2025-11-25 | 5 | 16 |
| -0.43% | 2025-10-20 | 2025-10-23 | 2025-10-27 | 3 | 2 |
| -0.40% | 2026-02-17 | 2026-02-18 | 2026-02-23 | 1 | 3 |
| -0.30% | 2025-10-14 | 2025-10-16 | 2025-10-17 | 2 | 1 |
| -0.30% | 2025-10-01 | 2025-10-02 | 2025-10-03 | 1 | 1 |
| -0.25% | 2025-10-08 | 2025-10-09 | 2025-10-14 | 1 | 3 |
| -0.25% | 2026-07-02 | 2026-07-06 | 2026-07-07 | 1 | 1 |
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
