source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 157 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 | -1.50% | -2.00% | -1.74% | -2.50% |
| CVaR (ES) | -1.87% | -2.21% | -2.21% | -2.87% |
| VaR (Cornish-Fisher) | — | — | -1.63% | -2.11% |
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 |
|---|
| -11.10% | 2026-02-17 | 2026-04-29 | 2026-06-29 | 50 | 31 |
| -5.12% | 2026-07-07 | 2026-07-14 | 2026-07-28 | 5 | 10 |
| -4.30% | 2025-11-26 | 2025-12-09 | 2025-12-23 | 8 | 10 |
| -2.20% | 2026-01-07 | 2026-01-20 | 2026-01-22 | 8 | 2 |
| -1.82% | 2026-01-27 | 2026-01-28 | 2026-02-02 | 1 | 3 |
| -1.52% | 2025-12-24 | 2026-01-05 | 2026-01-06 | 6 | 1 |
| -1.49% | 2026-06-29 | 2026-07-01 | 2026-07-02 | 2 | 1 |
| -1.42% | 2026-02-04 | 2026-02-05 | 2026-02-06 | 1 | 1 |
| -1.28% | 2026-02-02 | 2026-02-03 | 2026-02-04 | 1 | 1 |
| -1.14% | 2026-07-02 | 2026-07-06 | 2026-07-07 | 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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
