source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 174 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 | -1.14% | -1.65% | -1.14% | -1.66% |
| CVaR (ES) | -1.47% | -1.79% | -1.46% | -1.91% |
| VaR (Cornish-Fisher) | — | — | -1.10% | -1.69% |
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 |
|---|
| -8.36% | 2026-02-27 | 2026-03-20 | 2026-06-11 | 15 | 47 |
| -3.60% | 2025-11-12 | 2025-11-20 | 2025-11-26 | 6 | 4 |
| -1.45% | 2026-06-16 | 2026-06-23 | 2026-07-06 | 4 | 8 |
| -1.44% | 2025-10-29 | 2025-11-06 | 2025-11-11 | 6 | 3 |
| -1.39% | 2026-01-15 | 2026-01-20 | 2026-01-21 | 2 | 1 |
| -1.21% | 2026-07-16 | 2026-07-20 | 2026-07-24 | 2 | 4 |
| -1.18% | 2025-12-11 | 2025-12-18 | 2026-01-05 | 5 | 10 |
| -1.09% | 2026-02-11 | 2026-02-12 | 2026-02-26 | 1 | 9 |
| -1.07% | 2026-07-06 | 2026-07-08 | 2026-07-16 | 2 | 6 |
| -0.96% | 2025-12-03 | 2025-12-09 | 2025-12-10 | 4 | 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
