source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 160 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 (8 months)
Only 8 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 | -3.07% | -6.10% | -3.60% | -5.26% |
| CVaR (ES) | -4.80% | -7.45% | -4.62% | -6.09% |
| VaR (Cornish-Fisher) | — | — | -3.53% | -5.85% |
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 |
|---|
| -8.85% | 2025-12-11 | 2025-12-31 | 2026-01-08 | 13 | 5 |
| -8.48% | 2026-04-22 | 2026-05-04 | 2026-05-08 | 8 | 4 |
| -7.19% | 2026-02-26 | 2026-03-02 | 2026-03-05 | 2 | 3 |
| -6.21% | 2026-07-01 | 2026-07-27 | ongoing | 17 | — |
| -5.65% | 2026-02-20 | 2026-02-24 | 2026-02-26 | 2 | 2 |
| -5.44% | 2025-12-05 | 2025-12-08 | 2025-12-10 | 1 | 2 |
| -5.24% | 2026-01-15 | 2026-02-03 | 2026-02-11 | 12 | 6 |
| -5.21% | 2026-04-02 | 2026-04-09 | 2026-04-14 | 4 | 3 |
| -4.72% | 2026-05-08 | 2026-05-14 | 2026-06-09 | 4 | 7 |
| -4.54% | 2026-02-11 | 2026-02-17 | 2026-02-20 | 3 | 3 |
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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
