source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 101 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 (5 months)
Only 5 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 | -1.43% | -1.88% | -1.63% | -2.38% |
| CVaR (ES) | -1.84% | -2.21% | -2.09% | -2.75% |
| VaR (Cornish-Fisher) | — | — | -1.52% | -2.18% |
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 |
|---|
| -7.71% | 2026-03-04 | 2026-03-30 | 2026-04-08 | 18 | 6 |
| -3.10% | 2026-06-22 | 2026-06-26 | 2026-07-06 | 4 | 5 |
| -2.79% | 2026-05-22 | 2026-06-10 | 2026-06-15 | 2 | 3 |
| -2.56% | 2026-07-14 | 2026-07-29 | ongoing | 11 | — |
| -1.37% | 2026-02-20 | 2026-02-24 | 2026-02-26 | 2 | 2 |
| -1.35% | 2026-04-17 | 2026-04-21 | 2026-04-22 | 2 | 1 |
| -1.31% | 2026-04-24 | 2026-04-29 | 2026-05-01 | 3 | 2 |
| -1.07% | 2026-06-16 | 2026-06-17 | 2026-06-22 | 1 | 2 |
| -0.83% | 2026-02-26 | 2026-03-03 | 2026-03-04 | 3 | 1 |
| -0.81% | 2026-05-14 | 2026-05-19 | 2026-05-20 | 3 | 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 5 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
