source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 195 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 (9 months)
Only 9 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 | -0.29% | -0.73% | -0.34% | -0.48% |
| CVaR (ES) | -0.53% | -0.80% | -0.42% | -0.55% |
| VaR (Cornish-Fisher) | — | — | -0.32% | -0.84% |
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 |
|---|
| -3.04% | 2026-02-27 | 2026-03-27 | ongoing | 20 | — |
| -0.45% | 2025-10-28 | 2025-11-14 | 2025-12-16 | 13 | 21 |
| -0.33% | 2026-01-16 | 2026-01-20 | 2026-01-28 | 1 | 6 |
| -0.09% | 2026-01-09 | 2026-01-12 | 2026-01-15 | 1 | 3 |
| -0.08% | 2026-02-10 | 2026-02-11 | 2026-02-12 | 1 | 1 |
| -0.06% | 2025-10-14 | 2025-10-15 | 2025-10-16 | 1 | 1 |
| -0.06% | 2026-01-28 | 2026-01-29 | 2026-01-30 | 1 | 1 |
| -0.06% | 2025-12-16 | 2025-12-17 | 2025-12-18 | 1 | 1 |
| -0.06% | 2026-02-05 | 2026-02-06 | 2026-02-09 | 1 | 1 |
| -0.03% | 2025-10-16 | 2025-10-17 | 2025-10-20 | 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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
