source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 209 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 (10 months)
Only 10 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 | -1.55% | -1.93% | -1.61% | -2.32% |
| CVaR (ES) | -1.88% | -2.22% | -2.04% | -2.67% |
| VaR (Cornish-Fisher) | — | — | -1.55% | -2.16% |
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 |
|---|
| -8.00% | 2025-09-18 | 2025-11-20 | 2025-12-10 | 45 | 13 |
| -7.58% | 2026-03-02 | 2026-03-20 | 2026-04-13 | 14 | 15 |
| -3.90% | 2026-05-08 | 2026-05-19 | 2026-06-11 | 7 | 6 |
| -3.50% | 2026-06-30 | 2026-07-08 | ongoing | 5 | — |
| -2.84% | 2025-12-11 | 2025-12-17 | 2026-01-06 | 4 | 12 |
| -2.59% | 2026-01-22 | 2026-02-05 | 2026-02-06 | 10 | 1 |
| -2.13% | 2026-02-09 | 2026-02-12 | 2026-02-26 | 3 | 9 |
| -1.74% | 2026-06-15 | 2026-06-17 | 2026-06-22 | 2 | 2 |
| -1.52% | 2026-01-15 | 2026-01-20 | 2026-01-21 | 2 | 1 |
| -1.39% | 2026-04-24 | 2026-04-29 | 2026-04-30 | 3 | 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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
