source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 211 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 (10 months)
Only 10 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 | -0.14% | -0.30% | -0.16% | -0.22% |
| CVaR (ES) | -0.23% | -0.33% | -0.20% | -0.26% |
| VaR (Cornish-Fisher) | — | — | -0.16% | -0.28% |
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 |
|---|
| -0.72% | 2026-02-27 | 2026-03-26 | 2026-04-14 | 19 | 12 |
| -0.42% | 2026-06-26 | 2026-07-08 | ongoing | 7 | — |
| -0.37% | 2026-05-06 | 2026-05-19 | 2026-06-25 | 9 | 15 |
| -0.24% | 2025-09-16 | 2025-09-25 | 2025-09-26 | 7 | 1 |
| -0.22% | 2026-04-20 | 2026-04-23 | 2026-04-30 | 3 | 5 |
| -0.22% | 2025-10-28 | 2025-11-05 | 2025-11-20 | 6 | 11 |
| -0.20% | 2026-05-01 | 2026-05-04 | 2026-05-06 | 1 | 2 |
| -0.18% | 2026-01-14 | 2026-01-21 | 2026-01-30 | 4 | 7 |
| -0.14% | 2025-10-06 | 2025-10-08 | 2025-10-13 | 2 | 3 |
| -0.13% | 2026-02-23 | 2026-02-24 | 2026-02-26 | 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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
