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 | -2.75% | -3.62% | -3.08% | -4.34% |
| CVaR (ES) | -3.39% | -4.10% | -3.85% | -4.96% |
| VaR (Cornish-Fisher) | — | — | -3.01% | -3.89% |
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 |
|---|
| -15.60% | 2026-06-30 | 2026-07-29 | ongoing | 20 | — |
| -10.85% | 2026-02-26 | 2026-03-30 | 2026-04-14 | 22 | 10 |
| -7.25% | 2026-05-13 | 2026-06-10 | 2026-06-15 | 9 | 3 |
| -4.13% | 2026-06-22 | 2026-06-24 | 2026-06-30 | 2 | 4 |
| -2.89% | 2026-06-15 | 2026-06-17 | 2026-06-18 | 2 | 1 |
| -2.15% | 2026-04-17 | 2026-04-23 | 2026-04-24 | 4 | 1 |
| -2.07% | 2026-04-27 | 2026-04-29 | 2026-05-06 | 2 | 5 |
| -1.85% | 2026-05-06 | 2026-05-12 | 2026-05-13 | 4 | 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
