source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 176 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 (9 months)
Only 9 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 | -0.35% | -0.75% | -0.37% | -0.53% |
| CVaR (ES) | -0.60% | -0.99% | -0.47% | -0.60% |
| VaR (Cornish-Fisher) | — | — | -0.41% | -0.84% |
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 |
|---|
| -2.93% | 2026-02-26 | 2026-03-26 | 2026-07-02 | 20 | 57 |
| -2.30% | 2026-07-06 | 2026-07-23 | ongoing | 13 | — |
| -0.36% | 2025-11-11 | 2025-11-19 | 2025-11-28 | 6 | 6 |
| -0.34% | 2025-11-28 | 2025-12-09 | 2025-12-29 | 7 | 13 |
| -0.27% | 2026-01-14 | 2026-01-20 | 2026-01-28 | 3 | 6 |
| -0.16% | 2026-01-09 | 2026-01-12 | 2026-01-14 | 1 | 2 |
| -0.15% | 2026-02-10 | 2026-02-11 | 2026-02-12 | 1 | 1 |
| -0.14% | 2025-11-04 | 2025-11-05 | 2025-11-06 | 1 | 1 |
| -0.12% | 2026-02-24 | 2026-02-25 | 2026-02-26 | 1 | 1 |
| -0.06% | 2026-02-02 | 2026-02-03 | 2026-02-04 | 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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
