source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 140 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 (7 months)
Only 7 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 | -4.16% | -6.57% | -4.05% | -5.79% |
| CVaR (ES) | -5.92% | -7.15% | -5.12% | -6.66% |
| VaR (Cornish-Fisher) | — | — | -4.17% | -6.51% |
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 |
|---|
| -15.39% | 2026-02-25 | 2026-03-31 | 2026-04-17 | 24 | 12 |
| -14.82% | 2026-06-18 | 2026-07-17 | ongoing | 19 | — |
| -7.49% | 2026-04-17 | 2026-04-23 | 2026-05-06 | 4 | 9 |
| -6.99% | 2026-05-08 | 2026-05-19 | 2026-06-10 | 7 | 5 |
| -5.66% | 2026-02-05 | 2026-02-06 | 2026-02-20 | 1 | 9 |
| -5.05% | 2026-01-29 | 2026-02-03 | 2026-02-05 | 3 | 2 |
| -3.03% | 2025-12-22 | 2025-12-24 | 2025-12-26 | 2 | 1 |
| -3.02% | 2026-06-15 | 2026-06-16 | 2026-06-18 | 1 | 2 |
| -1.71% | 2026-01-06 | 2026-01-08 | 2026-01-15 | 2 | 5 |
| -1.05% | 2026-05-06 | 2026-05-07 | 2026-05-08 | 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 7 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
