source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 200 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 | -0.37% | -0.61% | -0.36% | -0.51% |
| CVaR (ES) | -0.49% | -0.72% | -0.45% | -0.59% |
| VaR (Cornish-Fisher) | — | — | -0.35% | -0.59% |
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 |
|---|
| -2.40% | 2026-02-20 | 2026-03-27 | 2026-04-13 | 25 | 10 |
| -1.18% | 2025-10-02 | 2025-10-10 | 2025-10-24 | 6 | 10 |
| -0.94% | 2025-10-27 | 2025-11-18 | 2025-11-25 | 16 | 5 |
| -0.89% | 2026-04-17 | 2026-05-18 | 2026-07-02 | 21 | 21 |
| -0.82% | 2026-07-06 | 2026-07-23 | ongoing | 13 | — |
| -0.36% | 2025-12-03 | 2025-12-09 | 2025-12-23 | 4 | 10 |
| -0.24% | 2025-09-24 | 2025-09-25 | 2025-09-29 | 1 | 2 |
| -0.20% | 2026-01-16 | 2026-01-20 | 2026-01-21 | 1 | 1 |
| -0.18% | 2026-01-26 | 2026-01-29 | 2026-01-30 | 3 | 1 |
| -0.18% | 2026-02-02 | 2026-02-04 | 2026-02-06 | 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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
