source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 147 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 | -1.09% | -1.51% | -1.13% | -1.60% |
| CVaR (ES) | -1.35% | -1.60% | -1.42% | -1.83% |
| VaR (Cornish-Fisher) | — | — | -1.08% | -1.53% |
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 |
|---|
| -7.25% | 2026-01-12 | 2026-03-30 | 2026-04-17 | 53 | 13 |
| -3.38% | 2026-05-14 | 2026-06-10 | 2026-07-10 | 8 | 20 |
| -3.35% | 2026-07-10 | 2026-07-29 | ongoing | 13 | — |
| -2.04% | 2025-12-11 | 2025-12-17 | 2025-12-24 | 4 | 5 |
| -1.16% | 2025-12-26 | 2026-01-02 | 2026-01-06 | 4 | 2 |
| -0.76% | 2026-05-06 | 2026-05-11 | 2026-05-14 | 3 | 3 |
| -0.59% | 2026-04-24 | 2026-04-29 | 2026-05-06 | 3 | 5 |
| -0.36% | 2026-04-17 | 2026-04-21 | 2026-04-23 | 2 | 2 |
| -0.24% | 2026-01-06 | 2026-01-08 | 2026-01-09 | 2 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 9). 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
