source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 164 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 (8 months)
Only 8 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 | -2.93% | -5.49% | -3.63% | -5.16% |
| CVaR (ES) | -4.80% | -9.68% | -4.57% | -5.91% |
| VaR (Cornish-Fisher) | — | — | -3.81% | -9.10% |
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 |
|---|
| -22.20% | 2026-04-24 | 2026-06-25 | ongoing | 32 | — |
| -20.91% | 2026-01-16 | 2026-02-05 | 2026-04-13 | 13 | 45 |
| -5.91% | 2025-11-28 | 2025-12-10 | 2025-12-18 | 8 | 6 |
| -4.31% | 2025-11-17 | 2025-11-20 | 2025-11-24 | 3 | 2 |
| -2.95% | 2026-01-06 | 2026-01-08 | 2026-01-16 | 2 | 6 |
| -1.57% | 2025-12-31 | 2026-01-02 | 2026-01-05 | 1 | 1 |
| -1.48% | 2026-04-16 | 2026-04-20 | 2026-04-22 | 2 | 2 |
| -0.57% | 2026-04-13 | 2026-04-14 | 2026-04-15 | 1 | 1 |
| -0.26% | 2025-12-24 | 2025-12-26 | 2025-12-30 | 1 | 2 |
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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
