source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 144 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 | -0.31% | -0.43% | -0.28% | -0.40% |
| CVaR (ES) | -0.42% | -0.59% | -0.36% | -0.46% |
| VaR (Cornish-Fisher) | — | — | -0.30% | -0.53% |
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 |
|---|
| -1.90% | 2026-02-25 | 2026-03-20 | 2026-04-24 | 17 | 24 |
| -0.65% | 2026-04-24 | 2026-05-19 | 2026-06-26 | 17 | 16 |
| -0.59% | 2025-12-11 | 2025-12-17 | 2026-01-05 | 4 | 11 |
| -0.38% | 2026-06-30 | 2026-07-24 | ongoing | 17 | — |
| -0.19% | 2026-01-13 | 2026-01-20 | 2026-01-21 | 4 | 1 |
| -0.08% | 2026-02-03 | 2026-02-04 | 2026-02-05 | 1 | 1 |
| -0.08% | 2026-01-30 | 2026-02-02 | 2026-02-03 | 1 | 1 |
| -0.06% | 2026-01-06 | 2026-01-08 | 2026-01-09 | 2 | 1 |
| -0.05% | 2026-02-23 | 2026-02-24 | 2026-02-25 | 1 | 1 |
| -0.04% | 2026-01-26 | 2026-01-27 | 2026-01-28 | 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
