source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 164 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 (8 months)
Only 8 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 | -1.32% | -1.81% | -1.57% | -2.28% |
| CVaR (ES) | -1.73% | -2.24% | -2.00% | -2.64% |
| VaR (Cornish-Fisher) | — | — | -1.43% | -1.92% |
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 |
|---|
| -10.17% | 2026-02-06 | 2026-03-20 | 2026-04-14 | 29 | 16 |
| -4.52% | 2026-05-06 | 2026-05-19 | 2026-06-09 | 9 | 4 |
| -3.46% | 2026-06-30 | 2026-07-08 | ongoing | 5 | — |
| -2.92% | 2025-12-11 | 2025-12-31 | 2026-01-06 | 13 | 3 |
| -2.06% | 2026-01-21 | 2026-01-23 | 2026-02-04 | 2 | 8 |
| -1.87% | 2026-04-20 | 2026-04-29 | 2026-05-05 | 7 | 4 |
| -1.54% | 2026-01-15 | 2026-01-20 | 2026-01-21 | 2 | 1 |
| -1.30% | 2026-06-12 | 2026-06-17 | 2026-06-18 | 3 | 1 |
| -1.24% | 2025-11-19 | 2025-11-20 | 2025-11-21 | 1 | 1 |
| -0.98% | 2025-12-03 | 2025-12-09 | 2025-12-10 | 4 | 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 8 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
