source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 93 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 (4 months)
Only 4 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 | -4.32% | -7.69% | -5.24% | -7.43% |
| CVaR (ES) | -6.64% | -9.41% | -6.59% | -8.52% |
| VaR (Cornish-Fisher) | — | — | -5.05% | -7.55% |
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 |
|---|
| -19.95% | 2026-06-18 | 2026-07-07 | ongoing | 11 | — |
| -16.46% | 2026-03-09 | 2026-04-02 | 2026-04-23 | 18 | 14 |
| -6.49% | 2026-05-01 | 2026-05-11 | 2026-05-14 | 6 | 3 |
| -6.40% | 2026-05-14 | 2026-05-20 | 2026-06-09 | 4 | 3 |
| -4.68% | 2026-04-24 | 2026-04-29 | 2026-05-01 | 3 | 2 |
| -4.34% | 2026-06-09 | 2026-06-10 | 2026-06-16 | 1 | 4 |
| -1.77% | 2026-06-16 | 2026-06-17 | 2026-06-18 | 1 | 1 |
| -1.10% | 2026-03-04 | 2026-03-06 | 2026-03-09 | 2 | 1 |
| -0.94% | 2026-03-02 | 2026-03-03 | 2026-03-04 | 1 | 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 4 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
