source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 136 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 (7 months)
Only 7 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 | -2.78% | -3.89% | -3.66% | -5.27% |
| CVaR (ES) | -4.00% | -5.88% | -4.65% | -6.07% |
| VaR (Cornish-Fisher) | — | — | -2.87% | -4.76% |
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 |
|---|
| -17.17% | 2026-01-06 | 2026-02-24 | 2026-04-17 | 33 | 37 |
| -10.16% | 2026-06-26 | 2026-07-20 | ongoing | 15 | — |
| -9.16% | 2026-05-08 | 2026-05-19 | 2026-06-11 | 7 | 6 |
| -5.83% | 2025-12-26 | 2026-01-02 | 2026-01-06 | 4 | 2 |
| -3.82% | 2026-06-11 | 2026-06-17 | 2026-06-24 | 4 | 4 |
| -1.45% | 2026-04-20 | 2026-04-21 | 2026-04-22 | 1 | 1 |
| -1.32% | 2026-04-24 | 2026-04-30 | 2026-05-04 | 4 | 2 |
| -0.06% | 2026-04-22 | 2026-04-23 | 2026-04-24 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 8). 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 7 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
