source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 206 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 (10 months)
Only 10 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 | -4.74% | -7.83% | -4.77% | -6.84% |
| CVaR (ES) | -6.35% | -8.48% | -6.04% | -7.87% |
| VaR (Cornish-Fisher) | — | — | -4.96% | -7.55% |
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 |
|---|
| -30.70% | 2025-10-07 | 2026-01-07 | 2026-03-24 | 63 | 52 |
| -14.70% | 2026-06-18 | 2026-06-24 | 2026-06-29 | 3 | 3 |
| -12.03% | 2026-03-27 | 2026-04-01 | 2026-04-24 | 3 | 16 |
| -11.76% | 2026-07-22 | 2026-07-28 | ongoing | 4 | — |
| -10.62% | 2026-05-05 | 2026-05-08 | 2026-05-15 | 3 | 5 |
| -8.70% | 2026-06-30 | 2026-07-02 | 2026-07-09 | 2 | 4 |
| -5.84% | 2026-05-22 | 2026-06-09 | 2026-06-12 | 1 | 3 |
| -5.33% | 2026-06-12 | 2026-06-17 | 2026-06-18 | 3 | 1 |
| -3.76% | 2026-07-14 | 2026-07-15 | 2026-07-22 | 1 | 5 |
| -2.40% | 2026-07-09 | 2026-07-10 | 2026-07-13 | 1 | 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 10 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
