source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 95 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 (5 months)
Only 5 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 | -2.98% | -4.91% | -3.15% | -4.47% |
| CVaR (ES) | -4.33% | -4.94% | -3.96% | -5.12% |
| VaR (Cornish-Fisher) | — | — | -3.11% | -4.72% |
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 |
|---|
| -13.51% | 2026-05-22 | 2026-07-01 | ongoing | 16 | — |
| -10.91% | 2026-02-27 | 2026-03-12 | 2026-04-08 | 9 | 18 |
| -3.63% | 2026-05-14 | 2026-05-15 | 2026-05-18 | 1 | 1 |
| -3.32% | 2026-04-20 | 2026-04-22 | 2026-05-06 | 2 | 10 |
| -2.41% | 2026-05-06 | 2026-05-13 | 2026-05-14 | 5 | 1 |
| -2.22% | 2026-04-08 | 2026-04-13 | 2026-04-20 | 3 | 5 |
| -0.85% | 2026-05-19 | 2026-05-20 | 2026-05-21 | 1 | 1 |
| -0.47% | 2026-02-25 | 2026-02-26 | 2026-02-27 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 8). 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 5 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
