source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 197 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 | -0.29% | -0.45% | -0.30% | -0.43% |
| CVaR (ES) | -0.38% | -0.49% | -0.38% | -0.49% |
| VaR (Cornish-Fisher) | — | — | -0.28% | -0.45% |
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 |
|---|
| -2.02% | 2026-02-20 | 2026-03-27 | 2026-04-14 | 25 | 11 |
| -1.33% | 2025-10-27 | 2025-11-20 | 2026-01-07 | 18 | 31 |
| -0.61% | 2026-02-02 | 2026-02-05 | 2026-02-09 | 3 | 2 |
| -0.48% | 2026-06-16 | 2026-06-24 | 2026-07-06 | 5 | 7 |
| -0.47% | 2026-01-12 | 2026-01-20 | 2026-01-26 | 5 | 4 |
| -0.41% | 2026-05-21 | 2026-06-10 | 2026-06-15 | 3 | 3 |
| -0.41% | 2026-07-16 | 2026-07-29 | ongoing | 9 | — |
| -0.36% | 2025-10-02 | 2025-10-10 | 2025-10-17 | 6 | 5 |
| -0.33% | 2026-07-06 | 2026-07-08 | 2026-07-10 | 2 | 2 |
| -0.30% | 2026-02-09 | 2026-02-13 | 2026-02-20 | 4 | 4 |
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
