source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 98 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 (5 months)
Only 5 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 | -1.85% | -2.37% | -1.76% | -2.52% |
| CVaR (ES) | -2.37% | -2.72% | -2.23% | -2.89% |
| VaR (Cornish-Fisher) | — | — | -1.80% | -2.62% |
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 |
|---|
| -9.23% | 2026-06-30 | 2026-07-29 | ongoing | 20 | — |
| -6.25% | 2026-03-02 | 2026-03-30 | 2026-04-09 | 20 | 7 |
| -3.26% | 2026-06-22 | 2026-06-24 | 2026-06-30 | 2 | 4 |
| -1.28% | 2026-05-14 | 2026-05-15 | 2026-05-21 | 1 | 4 |
| -1.16% | 2026-05-22 | 2026-06-10 | 2026-06-11 | 2 | 1 |
| -1.15% | 2026-04-17 | 2026-04-21 | 2026-04-29 | 2 | 6 |
| -0.89% | 2026-06-15 | 2026-06-17 | 2026-06-18 | 2 | 1 |
| -0.80% | 2026-05-06 | 2026-05-07 | 2026-05-08 | 1 | 1 |
| -0.78% | 2026-04-30 | 2026-05-04 | 2026-05-05 | 2 | 1 |
| -0.62% | 2026-04-09 | 2026-04-10 | 2026-04-13 | 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 5 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
