source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 148 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 | -1.36% | -1.95% | -1.44% | -2.06% |
| CVaR (ES) | -1.75% | -2.05% | -1.82% | -2.37% |
| VaR (Cornish-Fisher) | — | — | -1.36% | -1.92% |
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 |
|---|
| -9.41% | 2025-12-11 | 2026-03-30 | 2026-04-24 | 73 | 18 |
| -5.54% | 2026-06-30 | 2026-07-29 | ongoing | 20 | — |
| -2.40% | 2026-06-22 | 2026-06-24 | 2026-06-29 | 2 | 3 |
| -1.91% | 2026-05-14 | 2026-05-19 | 2026-05-21 | 3 | 2 |
| -1.59% | 2026-04-24 | 2026-04-29 | 2026-05-01 | 3 | 2 |
| -1.52% | 2026-06-15 | 2026-06-17 | 2026-06-18 | 2 | 1 |
| -1.18% | 2026-05-22 | 2026-06-10 | 2026-06-11 | 2 | 1 |
| -0.42% | 2026-05-06 | 2026-05-07 | 2026-05-08 | 1 | 1 |
| -0.11% | 2026-05-11 | 2026-05-12 | 2026-05-13 | 1 | 1 |
| -0.08% | 2026-05-01 | 2026-05-04 | 2026-05-05 | 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 7 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
