source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 223 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 (11 months)
Only 11 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 | -1.94% | -2.92% | -1.91% | -2.73% |
| CVaR (ES) | -2.59% | -3.56% | -2.42% | -3.14% |
| VaR (Cornish-Fisher) | — | — | -1.80% | -3.20% |
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 |
|---|
| -11.75% | 2026-02-25 | 2026-03-20 | 2026-07-06 | 17 | 62 |
| -5.24% | 2025-11-12 | 2025-11-20 | 2025-12-10 | 6 | 13 |
| -4.08% | 2026-07-06 | 2026-07-20 | ongoing | 10 | — |
| -3.56% | 2025-10-06 | 2025-10-10 | 2025-10-27 | 4 | 11 |
| -3.30% | 2025-08-22 | 2025-09-02 | 2025-09-15 | 6 | 9 |
| -2.20% | 2025-09-15 | 2025-09-25 | 2025-10-01 | 8 | 4 |
| -2.06% | 2025-10-27 | 2025-11-04 | 2025-11-11 | 6 | 5 |
| -1.59% | 2026-01-16 | 2026-01-20 | 2026-01-22 | 1 | 2 |
| -1.54% | 2026-02-04 | 2026-02-05 | 2026-02-06 | 1 | 1 |
| -1.17% | 2026-01-27 | 2026-01-28 | 2026-02-03 | 1 | 4 |
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 11 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
