source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 221 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 (11 months)
Only 11 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 | -2.43% | -2.97% | -2.34% | -3.36% |
| CVaR (ES) | -2.89% | -3.49% | -2.97% | -3.87% |
| VaR (Cornish-Fisher) | — | — | -2.34% | -3.40% |
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 |
|---|
| -15.71% | 2026-02-27 | 2026-03-30 | 2026-05-22 | 21 | 38 |
| -10.85% | 2025-10-27 | 2025-11-20 | 2025-12-10 | 18 | 13 |
| -6.58% | 2025-10-06 | 2025-10-10 | 2025-10-27 | 4 | 11 |
| -3.51% | 2026-01-15 | 2026-01-20 | 2026-01-22 | 2 | 2 |
| -3.50% | 2026-06-15 | 2026-06-17 | 2026-06-26 | 2 | 6 |
| -3.37% | 2026-07-01 | 2026-07-23 | 2026-07-27 | 15 | 2 |
| -3.31% | 2025-09-11 | 2025-09-25 | 2025-10-01 | 10 | 4 |
| -3.03% | 2025-12-11 | 2025-12-17 | 2026-01-05 | 4 | 11 |
| -2.73% | 2026-02-11 | 2026-02-12 | 2026-02-20 | 1 | 5 |
| -2.37% | 2025-08-27 | 2025-09-03 | 2025-09-11 | 4 | 6 |
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 11 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
