source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 111 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 | -7.11% | -10.82% | -9.99% | -14.60% |
| CVaR (ES) | -9.41% | -12.79% | -12.82% | -16.89% |
| VaR (Cornish-Fisher) | — | — | -0.88% | -8.36% |
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 |
|---|
| -20.78% | 2026-05-05 | 2026-06-16 | 2026-06-24 | 19 | 5 |
| -19.35% | 2026-07-02 | 2026-07-30 | ongoing | 19 | — |
| -16.05% | 2026-03-26 | 2026-04-07 | 2026-04-10 | 7 | 3 |
| -15.79% | 2026-02-18 | 2026-02-25 | 2026-03-09 | 5 | 8 |
| -15.73% | 2026-04-15 | 2026-04-24 | 2026-04-27 | 7 | 1 |
| -7.09% | 2026-04-29 | 2026-04-30 | 2026-05-05 | 1 | 3 |
| -6.81% | 2026-03-17 | 2026-03-19 | 2026-03-23 | 2 | 2 |
| -3.77% | 2026-02-06 | 2026-02-09 | 2026-02-10 | 1 | 1 |
| -3.11% | 2026-06-26 | 2026-06-30 | 2026-07-01 | 2 | 1 |
| -2.21% | 2026-02-12 | 2026-02-13 | 2026-02-17 | 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 5 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
