source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 193 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 | -2.65% | -3.59% | -2.60% | -3.73% |
| CVaR (ES) | -3.38% | -4.36% | -3.30% | -4.30% |
| VaR (Cornish-Fisher) | — | — | -2.60% | -3.90% |
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 |
|---|
| -12.49% | 2026-02-25 | 2026-03-30 | 2026-04-14 | 23 | 10 |
| -12.11% | 2026-06-30 | 2026-07-29 | ongoing | 20 | — |
| -10.29% | 2025-10-31 | 2025-11-20 | 2025-12-04 | 14 | 9 |
| -7.72% | 2026-01-22 | 2026-02-05 | 2026-02-19 | 10 | 9 |
| -7.47% | 2025-12-09 | 2025-12-17 | 2026-01-05 | 6 | 11 |
| -4.31% | 2026-05-06 | 2026-05-19 | 2026-05-22 | 9 | 3 |
| -3.70% | 2025-10-15 | 2025-10-22 | 2025-10-24 | 5 | 2 |
| -3.40% | 2026-04-22 | 2026-04-28 | 2026-04-30 | 4 | 2 |
| -2.86% | 2025-10-08 | 2025-10-10 | 2025-10-13 | 2 | 1 |
| -2.24% | 2026-05-22 | 2026-06-10 | 2026-06-11 | 2 | 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
