source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 113 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 (6 months)
Only 6 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 | -6.36% | -9.50% | -6.23% | -8.78% |
| CVaR (ES) | -8.44% | -10.03% | -7.79% | -10.05% |
| VaR (Cornish-Fisher) | — | — | -6.23% | -9.47% |
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 |
|---|
| -49.90% | 2026-05-01 | 2026-06-29 | ongoing | 29 | — |
| -13.08% | 2026-03-18 | 2026-03-27 | 2026-04-06 | 7 | 5 |
| -7.59% | 2026-02-10 | 2026-02-27 | 2026-03-05 | 12 | 4 |
| -6.36% | 2026-04-13 | 2026-04-21 | 2026-04-23 | 6 | 2 |
| -5.05% | 2026-04-28 | 2026-04-29 | 2026-05-01 | 1 | 2 |
| -4.88% | 2026-04-07 | 2026-04-10 | 2026-04-13 | 3 | 1 |
| -3.05% | 2026-03-12 | 2026-03-13 | 2026-03-18 | 1 | 3 |
| -1.67% | 2026-03-05 | 2026-03-09 | 2026-03-10 | 2 | 1 |
| -0.48% | 2026-02-04 | 2026-02-05 | 2026-02-06 | 1 | 1 |
| -0.43% | 2026-04-23 | 2026-04-24 | 2026-04-28 | 1 | 2 |
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 6 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
