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 | -1.38% | -1.99% | -1.42% | -2.04% |
| CVaR (ES) | -1.77% | -2.11% | -1.80% | -2.35% |
| VaR (Cornish-Fisher) | — | — | -1.34% | -1.90% |
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 |
|---|
| -8.53% | 2026-01-28 | 2026-03-27 | 2026-04-15 | 41 | 12 |
| -3.62% | 2025-12-30 | 2026-01-20 | 2026-01-27 | 13 | 5 |
| -2.61% | 2025-12-19 | 2025-12-23 | 2025-12-30 | 2 | 4 |
| -2.57% | 2026-05-22 | 2026-06-10 | 2026-06-15 | 2 | 3 |
| -2.08% | 2026-06-15 | 2026-06-24 | 2026-06-29 | 6 | 3 |
| -1.72% | 2026-06-29 | 2026-07-02 | 2026-07-09 | 3 | 4 |
| -1.53% | 2026-07-21 | 2026-07-27 | ongoing | 4 | — |
| -1.32% | 2026-05-14 | 2026-05-19 | 2026-05-22 | 3 | 3 |
| -1.01% | 2026-04-17 | 2026-04-21 | 2026-04-22 | 2 | 1 |
| -0.82% | 2026-07-14 | 2026-07-16 | 2026-07-21 | 2 | 3 |
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
