source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 134 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 | -2.33% | -2.64% | -2.17% | -3.06% |
| CVaR (ES) | -2.57% | -2.74% | -2.72% | -3.51% |
| VaR (Cornish-Fisher) | — | — | -2.11% | -2.86% |
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 |
|---|
| -14.87% | 2026-01-06 | 2026-03-30 | 2026-06-15 | 57 | 43 |
| -10.30% | 2026-07-06 | 2026-07-29 | ongoing | 17 | — |
| -1.55% | 2026-06-15 | 2026-06-17 | 2026-06-18 | 2 | 1 |
| -1.30% | 2026-06-18 | 2026-06-23 | 2026-06-26 | 2 | 3 |
| -1.00% | 2025-12-30 | 2026-01-02 | 2026-01-05 | 2 | 1 |
| -0.12% | 2026-06-30 | 2026-07-02 | 2026-07-06 | 2 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 6). 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
