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 | -12.68% | -18.57% | -11.97% | -17.31% |
| CVaR (ES) | -15.89% | -19.50% | -15.24% | -19.97% |
| VaR (Cornish-Fisher) | — | — | -12.13% | -18.21% |
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 |
|---|
| -68.68% | 2026-06-30 | 2026-07-29 | ongoing | 20 | — |
| -40.09% | 2026-01-29 | 2026-03-30 | 2026-04-10 | 41 | 8 |
| -30.99% | 2025-11-10 | 2025-11-20 | 2025-12-10 | 8 | 13 |
| -23.10% | 2025-10-06 | 2025-10-10 | 2025-10-24 | 4 | 10 |
| -18.44% | 2026-06-22 | 2026-06-23 | 2026-06-30 | 1 | 5 |
| -17.53% | 2026-05-14 | 2026-05-19 | 2026-05-21 | 3 | 2 |
| -17.43% | 2026-04-14 | 2026-04-29 | 2026-05-05 | 11 | 4 |
| -16.42% | 2025-12-11 | 2025-12-17 | 2025-12-19 | 4 | 2 |
| -13.39% | 2025-08-28 | 2025-09-02 | 2025-09-08 | 2 | 4 |
| -11.44% | 2026-01-12 | 2026-01-14 | 2026-01-16 | 2 | 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
