source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 83 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 (4 months)
Only 4 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% | -2.23% | -1.96% | -2.82% |
| CVaR (ES) | -2.15% | -2.52% | -2.49% | -3.24% |
| VaR (Cornish-Fisher) | — | — | -1.85% | -2.54% |
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 |
|---|
| -7.40% | 2026-03-17 | 2026-03-30 | 2026-04-08 | 9 | 6 |
| -5.84% | 2026-07-10 | 2026-07-29 | ongoing | 13 | — |
| -4.43% | 2026-05-14 | 2026-06-25 | 2026-07-10 | 18 | 10 |
| -1.24% | 2026-04-22 | 2026-04-23 | 2026-04-24 | 1 | 1 |
| -1.21% | 2026-04-27 | 2026-04-29 | 2026-05-01 | 2 | 2 |
| -0.72% | 2026-04-17 | 2026-04-21 | 2026-04-22 | 2 | 1 |
| -0.71% | 2026-05-11 | 2026-05-12 | 2026-05-13 | 1 | 1 |
| -0.52% | 2026-05-01 | 2026-05-04 | 2026-05-05 | 1 | 1 |
| -0.20% | 2026-05-06 | 2026-05-07 | 2026-05-08 | 1 | 1 |
| -0.04% | 2026-04-15 | 2026-04-16 | 2026-04-17 | 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 4 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
