source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 114 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 | -13.34% | -17.71% | -13.68% | -19.18% |
| CVaR (ES) | -16.06% | -17.85% | -17.05% | -21.92% |
| VaR (Cornish-Fisher) | — | — | -12.11% | -17.05% |
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 |
|---|
| -65.43% | 2026-04-22 | 2026-07-29 | ongoing | 57 | — |
| -47.92% | 2026-01-30 | 2026-03-19 | 2026-04-09 | 33 | 14 |
| -9.98% | 2026-04-15 | 2026-04-17 | 2026-04-21 | 2 | 2 |
| -7.47% | 2026-04-09 | 2026-04-10 | 2026-04-15 | 1 | 3 |
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
