source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 119 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 (6 months)
Only 6 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 | -0.55% | -0.78% | -0.61% | -0.86% |
| CVaR (ES) | -0.80% | -1.04% | -0.76% | -0.98% |
| VaR (Cornish-Fisher) | — | — | -0.62% | -0.98% |
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 |
|---|
| -4.33% | 2026-02-25 | 2026-03-30 | 2026-06-16 | 23 | 44 |
| -2.05% | 2026-07-06 | 2026-07-23 | ongoing | 13 | — |
| -0.75% | 2026-06-16 | 2026-06-17 | 2026-07-06 | 1 | 11 |
| -0.22% | 2026-01-29 | 2026-02-02 | 2026-02-03 | 2 | 1 |
| -0.14% | 2026-01-22 | 2026-01-26 | 2026-01-29 | 2 | 3 |
| -0.08% | 2026-02-18 | 2026-02-20 | 2026-02-23 | 2 | 1 |
| -0.02% | 2026-02-10 | 2026-02-11 | 2026-02-12 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 7). 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 6 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
