source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 239 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 (12 months)
| Beta | 1.09 | Correlation | 0.55 |
| Up capture | 90.62% | Down capture | 168.82% |
Standard monthly capture ratios over 12 paired month-end total returns vs SPY, computed over the same window as every metric above.
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 | -2.95% | -4.22% | -2.82% | -4.01% |
| CVaR (ES) | -3.80% | -5.33% | -3.55% | -4.60% |
| VaR (Cornish-Fisher) | — | — | -2.93% | -4.66% |
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 |
|---|
| -18.98% | 2026-05-06 | 2026-07-29 | ongoing | 47 | — |
| -14.66% | 2025-10-15 | 2025-11-21 | 2026-01-27 | 27 | 43 |
| -12.01% | 2026-03-02 | 2026-03-30 | 2026-05-06 | 20 | 26 |
| -8.31% | 2026-01-28 | 2026-02-05 | 2026-02-20 | 6 | 10 |
| -5.22% | 2025-08-12 | 2025-08-20 | 2025-09-11 | 6 | 15 |
| -2.48% | 2025-09-15 | 2025-09-17 | 2025-09-19 | 2 | 2 |
| -1.96% | 2025-10-09 | 2025-10-10 | 2025-10-13 | 1 | 1 |
| -1.67% | 2025-07-31 | 2025-08-01 | 2025-08-04 | 1 | 1 |
| -1.42% | 2025-09-22 | 2025-09-26 | 2025-10-02 | 4 | 4 |
| -1.35% | 2025-08-06 | 2025-08-11 | 2025-08-12 | 3 | 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.
