source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 139 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 (7 months)
Only 7 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 | -1.27% | -2.47% | -1.39% | -2.02% |
| CVaR (ES) | -2.17% | -3.15% | -1.78% | -2.34% |
| VaR (Cornish-Fisher) | — | — | -1.53% | -2.73% |
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 |
|---|
| -8.55% | 2026-05-19 | 2026-06-24 | ongoing | 14 | — |
| -6.20% | 2026-03-26 | 2026-04-17 | 2026-04-30 | 15 | 9 |
| -2.45% | 2026-05-04 | 2026-05-06 | 2026-05-12 | 2 | 4 |
| -2.00% | 2026-03-02 | 2026-03-10 | 2026-03-19 | 6 | 7 |
| -1.68% | 2026-01-02 | 2026-01-06 | 2026-01-12 | 2 | 4 |
| -1.30% | 2026-01-29 | 2026-02-02 | 2026-02-03 | 2 | 1 |
| -0.63% | 2026-04-30 | 2026-05-01 | 2026-05-04 | 1 | 1 |
| -0.58% | 2026-01-16 | 2026-01-20 | 2026-01-22 | 1 | 2 |
| -0.57% | 2026-02-23 | 2026-02-25 | 2026-02-27 | 2 | 2 |
| -0.52% | 2026-03-24 | 2026-03-25 | 2026-03-26 | 1 | 1 |
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 7 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
