source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 191 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 (9 months)
Only 9 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 | -1.06% | -1.44% | -1.05% | -1.52% |
| CVaR (ES) | -1.33% | -1.77% | -1.34% | -1.76% |
| VaR (Cornish-Fisher) | — | — | -1.02% | -1.53% |
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 |
|---|
| -5.24% | 2026-03-02 | 2026-03-20 | 2026-07-16 | 14 | 70 |
| -2.50% | 2025-10-22 | 2025-11-04 | 2025-11-11 | 9 | 5 |
| -1.55% | 2025-11-26 | 2025-12-08 | 2025-12-15 | 7 | 5 |
| -1.42% | 2025-11-12 | 2025-11-20 | 2025-11-25 | 6 | 3 |
| -0.96% | 2026-07-16 | 2026-07-21 | 2026-07-24 | 3 | 3 |
| -0.90% | 2025-12-15 | 2025-12-16 | 2025-12-24 | 1 | 6 |
| -0.79% | 2025-10-08 | 2025-10-10 | 2025-10-14 | 2 | 2 |
| -0.75% | 2025-10-15 | 2025-10-16 | 2025-10-17 | 1 | 1 |
| -0.72% | 2025-12-30 | 2026-01-07 | 2026-01-08 | 5 | 1 |
| -0.57% | 2026-02-11 | 2026-02-12 | 2026-02-13 | 1 | 1 |
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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
