Quantitative Tools
Risk & Drawdown Dashboard
Compare SPY vs SPY across beta, drawdowns, correlation, and rolling stats.
Beta vs Benchmark
Sensitivity of the asset to benchmark moves. Beta > 1 = amplifies market swings, < 1 = muted response.
Realized Correlation
Rolling correlation highlights when SPY trades in sync with SPY.
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Drawdown Duration (per Year)
Tracks how long the asset stays below its prior high each year — a patience test metric.
Drawdowns (%)
Depth of losses from peak to trough across time — essential for sizing risk.
Rolling Sharpe Ratio
Risk-adjusted return over rolling windows. Higher Sharpe = better reward per unit risk.
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Realized Volatility
Rolling realized volatility to spot regime shifts and tranquility/storm cycles.
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Understanding Risk & Drawdown Metrics
What these metrics show
This dashboard frames SPY in context of SPY, covering sensitivity (beta), diversification (correlation), and pain points (drawdowns/duration).
How to use the charts
- Beta splits: Understand upside vs. downside participation.
- Drawdowns: Size potential losses and recovery timelines.
- Rolling stats: Detect evolving behavior before it hits P/L.
Practical applications
- Align exposure with personal risk tolerance.
- Compare candidates before allocating capital.
- Monitor regime shifts (correlation/vol spikes) for hedging cues.