source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 124 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 (6 months)
Only 6 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 | -2.94% | -5.19% | -4.64% | -6.65% |
| CVaR (ES) | -4.08% | -6.20% | -5.87% | -7.65% |
| VaR (Cornish-Fisher) | — | — | 0.24% | -2.68% |
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 |
|---|
| -12.78% | 2026-04-30 | 2026-05-18 | 2026-06-22 | 12 | 13 |
| -11.43% | 2026-02-09 | 2026-03-06 | 2026-04-27 | 18 | 35 |
| -10.33% | 2026-06-29 | 2026-07-29 | ongoing | 21 | — |
| -7.23% | 2026-01-15 | 2026-02-05 | 2026-02-09 | 14 | 2 |
| -2.95% | 2026-06-22 | 2026-06-23 | 2026-06-29 | 1 | 4 |
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 6 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
