source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 198 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 | -5.15% | -5.96% | -4.39% | -6.33% |
| CVaR (ES) | -5.75% | -6.17% | -5.58% | -7.29% |
| VaR (Cornish-Fisher) | — | — | -4.22% | -7.40% |
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 |
|---|
| -28.82% | 2026-06-22 | 2026-07-29 | ongoing | 26 | — |
| -15.80% | 2025-11-03 | 2025-11-21 | 2026-01-27 | 14 | 43 |
| -12.02% | 2026-02-25 | 2026-03-30 | 2026-04-08 | 23 | 6 |
| -8.28% | 2026-05-14 | 2026-05-19 | 2026-06-09 | 3 | 4 |
| -7.27% | 2025-10-15 | 2025-10-22 | 2025-10-27 | 5 | 3 |
| -6.97% | 2026-01-28 | 2026-02-05 | 2026-02-09 | 6 | 2 |
| -4.42% | 2026-05-06 | 2026-05-07 | 2026-05-11 | 1 | 2 |
| -3.90% | 2026-04-24 | 2026-04-28 | 2026-04-30 | 2 | 2 |
| -3.89% | 2026-06-09 | 2026-06-10 | 2026-06-11 | 1 | 1 |
| -1.99% | 2026-05-11 | 2026-05-12 | 2026-05-14 | 1 | 2 |
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
