source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 196 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 (9 months)
Only 9 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 | -2.00% | -2.77% | -1.97% | -2.83% |
| CVaR (ES) | -2.67% | -3.44% | -2.50% | -3.26% |
| VaR (Cornish-Fisher) | — | — | -1.90% | -3.01% |
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 |
|---|
| -12.42% | 2026-02-25 | 2026-03-30 | 2026-04-17 | 23 | 13 |
| -9.96% | 2026-06-22 | 2026-07-29 | ongoing | 26 | — |
| -5.36% | 2026-05-06 | 2026-05-19 | 2026-06-15 | 9 | 8 |
| -3.55% | 2025-10-29 | 2025-11-21 | 2025-12-10 | 17 | 12 |
| -3.08% | 2025-10-08 | 2025-10-10 | 2025-10-15 | 2 | 3 |
| -2.59% | 2025-12-10 | 2025-12-17 | 2025-12-23 | 5 | 4 |
| -2.54% | 2026-01-28 | 2026-01-30 | 2026-02-06 | 2 | 5 |
| -1.85% | 2026-04-27 | 2026-04-29 | 2026-05-05 | 2 | 4 |
| -1.82% | 2026-04-17 | 2026-04-21 | 2026-04-24 | 2 | 3 |
| -1.47% | 2026-02-11 | 2026-02-19 | 2026-02-20 | 5 | 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 9 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
