source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 201 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 | -0.11% | -0.16% | -0.12% | -0.17% |
| CVaR (ES) | -0.16% | -0.23% | -0.15% | -0.20% |
| VaR (Cornish-Fisher) | — | — | -0.12% | -0.21% |
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 |
|---|
| -1.08% | 2026-02-27 | 2026-03-27 | 2026-05-06 | 20 | 27 |
| -0.42% | 2026-05-11 | 2026-05-19 | 2026-06-25 | 6 | 15 |
| -0.32% | 2025-10-08 | 2025-10-09 | 2025-10-17 | 1 | 6 |
| -0.30% | 2025-10-22 | 2025-10-30 | 2025-11-21 | 6 | 16 |
| -0.23% | 2026-07-17 | 2026-07-23 | 2026-07-28 | 4 | 3 |
| -0.16% | 2026-07-28 | 2026-07-29 | ongoing | 1 | — |
| -0.14% | 2025-09-25 | 2025-09-26 | 2025-09-29 | 1 | 1 |
| -0.14% | 2025-12-04 | 2025-12-09 | 2025-12-11 | 3 | 2 |
| -0.12% | 2026-07-06 | 2026-07-08 | 2026-07-15 | 2 | 5 |
| -0.08% | 2025-12-19 | 2025-12-22 | 2025-12-26 | 1 | 3 |
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
