source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 131 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 | -4.12% | -7.59% | -4.35% | -6.14% |
| CVaR (ES) | -6.31% | -9.43% | -5.45% | -7.03% |
| VaR (Cornish-Fisher) | — | — | -4.39% | -8.43% |
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 |
|---|
| -32.41% | 2026-01-05 | 2026-02-12 | 2026-04-13 | 27 | 40 |
| -21.67% | 2026-05-14 | 2026-07-14 | ongoing | 30 | — |
| -5.86% | 2026-04-14 | 2026-04-24 | 2026-05-04 | 8 | 6 |
| -2.49% | 2026-05-04 | 2026-05-12 | 2026-05-14 | 6 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 4). 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
