source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 96 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 | -12.75% | -24.72% | -19.68% | -27.88% |
| CVaR (ES) | -21.49% | -29.91% | -24.70% | -31.95% |
| VaR (Cornish-Fisher) | — | — | -9.93% | -18.57% |
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 |
|---|
| -76.55% | 2026-04-22 | 2026-07-29 | ongoing | 57 | — |
| -37.50% | 2026-02-25 | 2026-02-27 | 2026-03-02 | 2 | 1 |
| -26.56% | 2026-03-10 | 2026-03-17 | 2026-03-24 | 5 | 5 |
| -25.32% | 2026-03-24 | 2026-03-30 | 2026-04-09 | 4 | 7 |
| -17.39% | 2026-04-16 | 2026-04-21 | 2026-04-22 | 3 | 1 |
| -6.92% | 2026-03-03 | 2026-03-04 | 2026-03-05 | 1 | 1 |
| -5.80% | 2026-03-05 | 2026-03-06 | 2026-03-10 | 1 | 2 |
| -2.88% | 2026-04-13 | 2026-04-14 | 2026-04-15 | 1 | 1 |
| -2.23% | 2026-04-09 | 2026-04-10 | 2026-04-13 | 1 | 1 |
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 5 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
