source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 161 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 (8 months)
Only 8 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 | -5.02% | -9.79% | -5.63% | -8.11% |
| CVaR (ES) | -7.92% | -11.47% | -7.15% | -9.34% |
| VaR (Cornish-Fisher) | — | — | -5.93% | -9.91% |
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 |
|---|
| -40.93% | 2026-02-05 | 2026-06-09 | 2026-07-24 | 75 | 31 |
| -13.54% | 2025-12-17 | 2026-01-12 | 2026-01-21 | 16 | 6 |
| -12.05% | 2025-11-25 | 2025-12-10 | 2025-12-12 | 10 | 2 |
| -4.62% | 2026-01-21 | 2026-01-26 | 2026-01-28 | 3 | 2 |
| -4.56% | 2026-07-24 | 2026-07-28 | ongoing | 2 | — |
| -2.05% | 2025-12-15 | 2025-12-16 | 2025-12-17 | 1 | 1 |
| -0.98% | 2025-11-21 | 2025-11-24 | 2025-11-25 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 7). 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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
