source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 29 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 (2 months)
Only 2 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)
Insufficient history for a 63-period rolling window on this series.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|
| VaR | -4.49% | -5.95% | -4.29% | -6.17% |
| CVaR (ES) | -5.81% | -6.14% | -5.44% | -7.11% |
| VaR (Cornish-Fisher) | — | — | -4.47% | -6.66% |
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 |
|---|
| -7.87% | 2026-07-01 | 2026-07-28 | ongoing | 9 | — |
| -6.14% | 2026-06-11 | 2026-06-12 | 2026-06-25 | 1 | 8 |
| -3.60% | 2026-05-21 | 2026-06-09 | 2026-06-10 | 2 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 3). 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 2 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
