source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 191 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 (9 months)
Only 9 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 | -0.94% | -1.21% | -0.81% | -1.16% |
| CVaR (ES) | -1.14% | -1.33% | -1.02% | -1.33% |
| VaR (Cornish-Fisher) | — | — | -0.78% | -1.34% |
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 |
|---|
| -5.92% | 2026-02-09 | 2026-03-30 | 2026-04-14 | 34 | 10 |
| -1.81% | 2026-07-10 | 2026-07-29 | ongoing | 13 | — |
| -1.74% | 2026-01-12 | 2026-01-20 | 2026-02-09 | 5 | 14 |
| -1.66% | 2025-11-12 | 2025-11-20 | 2025-11-26 | 6 | 4 |
| -1.23% | 2026-06-15 | 2026-06-25 | 2026-06-30 | 7 | 3 |
| -1.21% | 2026-05-22 | 2026-06-10 | 2026-06-15 | 2 | 3 |
| -1.12% | 2025-10-09 | 2025-10-10 | 2025-10-20 | 1 | 6 |
| -1.04% | 2025-12-11 | 2025-12-17 | 2025-12-22 | 4 | 3 |
| -0.89% | 2025-12-26 | 2026-01-02 | 2026-01-06 | 4 | 2 |
| -0.84% | 2026-05-14 | 2026-05-19 | 2026-05-22 | 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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
