source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 199 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 | -0.29% | -0.46% | -0.29% | -0.42% |
| CVaR (ES) | -0.46% | -0.84% | -0.37% | -0.48% |
| VaR (Cornish-Fisher) | — | — | -0.28% | -0.74% |
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 |
|---|
| -2.71% | 2026-02-27 | 2026-03-27 | ongoing | 20 | — |
| -0.29% | 2025-09-16 | 2025-10-14 | 2025-10-21 | 1 | 5 |
| -0.29% | 2026-01-16 | 2026-01-20 | 2026-01-28 | 1 | 6 |
| -0.25% | 2025-11-12 | 2025-12-15 | 2025-12-31 | 22 | 11 |
| -0.22% | 2025-10-28 | 2025-10-30 | 2025-11-11 | 2 | 8 |
| -0.08% | 2025-10-24 | 2025-10-27 | 2025-10-28 | 1 | 1 |
| -0.04% | 2026-02-10 | 2026-02-11 | 2026-02-12 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 7). 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
