source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 150 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 | -8.84% | -11.32% | -10.01% | -14.37% |
| CVaR (ES) | -10.53% | -11.70% | -12.68% | -16.54% |
| VaR (Cornish-Fisher) | — | — | -8.61% | -11.36% |
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 |
|---|
| -38.35% | 2026-06-16 | 2026-07-24 | ongoing | 26 | — |
| -29.35% | 2026-02-02 | 2026-02-23 | 2026-03-09 | 14 | 10 |
| -23.51% | 2026-03-18 | 2026-03-26 | 2026-04-13 | 6 | 11 |
| -20.51% | 2025-12-03 | 2025-12-29 | 2026-01-27 | 17 | 19 |
| -13.36% | 2026-04-15 | 2026-04-21 | 2026-05-05 | 4 | 10 |
| -12.28% | 2026-05-06 | 2026-05-13 | 2026-05-14 | 5 | 1 |
| -10.73% | 2026-05-21 | 2026-06-10 | 2026-06-11 | 3 | 1 |
| -8.90% | 2026-03-11 | 2026-03-13 | 2026-03-16 | 2 | 1 |
| -6.02% | 2026-01-28 | 2026-01-29 | 2026-02-02 | 1 | 2 |
| -3.85% | 2026-04-13 | 2026-04-14 | 2026-04-15 | 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
