source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 49 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 (3 months)
Only 3 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)
Insufficient history for a 63-period rolling window on this series.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|
| VaR | -7.95% | -10.37% | -20.25% | -29.61% |
| CVaR (ES) | -9.59% | -12.00% | -25.99% | -34.27% |
| VaR (Cornish-Fisher) | — | — | 8.67% | 40.23% |
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 |
|---|
| -32.45% | 2026-04-29 | 2026-06-09 | 2026-07-20 | 18 | 18 |
| -8.60% | 2026-04-20 | 2026-04-21 | 2026-04-22 | 1 | 1 |
| -6.94% | 2026-07-22 | 2026-07-24 | 2026-07-27 | 2 | 1 |
| -4.74% | 2026-04-23 | 2026-04-27 | 2026-04-28 | 2 | 1 |
| -0.43% | 2026-07-27 | 2026-07-28 | ongoing | 1 | — |
Each peak-to-recovery underwater episode, worst depth first (top 5). 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 3 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
