Risk & Drawdown Dashboard
Beta vs Benchmark
Shows how sensitive the asset is to overall market moves. A beta above 1 means it usually moves more than the benchmark, below 1 means less.
Realized Correlation
Measures how closely the asset’s returns have moved with the benchmark over rolling time windows. High correlation means they move together.
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Drawdown Duration (per Year)
Tracks how long the asset stays below its previous high each year. Longer durations signal slower recoveries from losses.
Drawdowns (%)
Shows the depth of losses from peak to trough over time. Useful for understanding worst-case declines.
Rolling Sharpe Ratio
Evaluates return per unit of risk. A higher Sharpe means the asset delivered better risk-adjusted performance in that period.
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Realized Volatility
Captures how much the asset’s returns have fluctuated. Higher volatility means larger swings and greater uncertainty.
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Understanding Risk & Drawdown Metrics
What Are These Metrics?
This dashboard provides a comprehensive view of an asset's risk profile, both on its own and relative to a benchmark (like the S&P 500). It helps you understand not just an asset's returns, but the risks taken to achieve them.
How to Interpret the Charts
- Beta vs Benchmark: Shows the asset's sensitivity to market moves. A beta of 1.5 means the asset tends to move 1.5% for every 1% move in the benchmark. Upside/Downside beta splits this into performance during up-markets vs. down-markets.
- Drawdowns (%): Measures the percentage loss from an asset's peak price to its subsequent low. It's a key indicator of downside risk and potential pain.
- Drawdown Duration: Shows how long it takes for an asset to recover and reach a new all-time high after a drawdown. Longer durations can test an investor's patience.
- Rolling Correlation/Volatility: These charts show how the asset's correlation to the market and its own volatility have changed over time, revealing if its character is changing.
- Rolling Sharpe Ratio: Evaluates return per unit of risk over time. A higher Sharpe ratio means the asset delivered better risk-adjusted performance in that period.
Practical Applications
- Assess if an asset's volatility and drawdown profile fit your personal risk tolerance.
- Understand how an asset is likely to behave in different market conditions (bull vs. bear).
- Compare the risk-adjusted performance of different assets to build a more efficient portfolio.