Risk Analytics
Comprehensive risk analysis and stress testing
1-Day VaR (95%)
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Awaiting config
1-Day VaR (99%)
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Awaiting config
CVaR (95%)
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Expected Shortfall
Max Drawdown (est)
—
Worst peak-to-trough estimate
Current Drawdown
—
From recent peak
Portfolio Beta
0.72
vs S&P 500
Asset Class Correlation Matrix
| US LC | US MC | US SC | Dev Intl | EM Eq | Txbl FI | TE FI | Hi Yld | EM FI | L/S | Abs Ret | Priv Eq | Cmdty | Cash | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| US LC | 1.0 | — | — | — | — | — | — | — | — | — | — | — | — | — |
| US MC | — | 1.0 | — | — | — | — | — | — | — | — | — | — | — | — |
| US SC | — | — | 1.0 | — | — | — | — | — | — | — | — | — | — | — |
| Dev Intl | — | — | — | 1.0 | — | — | — | — | — | — | — | — | — | — |
| EM Eq | — | — | — | — | 1.0 | — | — | — | — | — | — | — | — | — |
| Txbl FI | — | — | — | — | — | 1.0 | — | — | — | — | — | — | — | — |
| TE FI | — | — | — | — | — | — | 1.0 | — | — | — | — | — | — | — |
| Hi Yld | — | — | — | — | — | — | — | 1.0 | — | — | — | — | — | — |
| EM FI | — | — | — | — | — | — | — | — | 1.0 | — | — | — | — | — |
| L/S | — | — | — | — | — | — | — | — | — | 1.0 | — | — | — | — |
| Abs Ret | — | — | — | — | — | — | — | — | — | — | 1.0 | — | — | — |
| Priv Eq | — | — | — | — | — | — | — | — | — | — | — | 1.0 | — | — |
| Cmdty | — | — | — | — | — | — | — | — | — | — | — | — | 1.0 | — |
| Cash | — | — | — | — | — | — | — | — | — | — | — | — | — | 1.0 |
Correlation:
-1
-0.5
0
0.5
1
Volatility unavailable — covariance config not loaded.
Return Distribution with VaR
Volatility unavailable — covariance config not loaded.
Drawdown History Illustrative — historical depths pending live return data
Volatility unavailable — covariance config not loaded.
| Scenario | Start | Trough | Depth | Duration | Recovery |
|---|---|---|---|---|---|
| 2008 GFC | Sep'08 | Mar'09 | — | 6m | 24m |
| 2020 COVID | Feb'20 | Mar'20 | — | 1m | 5m |
| 2022 Rates | Jan'22 | Oct'22 | — | 9m | 14m |
| 2000 Dot-com | Mar'00 | Oct'02 | — | 30m | 48m |
| 2015 EM | Jun'15 | Feb'16 | — | 8m | 16m |
Depth, Duration, and Recovery are model-scaled illustrations, not realized historical results. Live crisis drawdowns from actual return series are a later stage.
Stress Test Scenarios
Estimated portfolio impact of historical stress events
2008 Global Financial Crisis
Sep 2008 – Mar 2009
Lehman collapse, credit markets freeze
Click “Run All Stress Tests”
2020 COVID Crash (Q1)
Feb – Mar 2020
Pandemic-driven sell-off, record speed
Click “Run All Stress Tests”
2022 Rate Shock
Jan – Dec 2022
Fed tightening, bonds & equities fall
Click “Run All Stress Tests”
2000–2002 Dot-com Bust
Mar 2000 – Oct 2002
Tech valuation collapse, three-year bear
Click “Run All Stress Tests”
Stagflation Scenario
Hypothetical
High inflation + low growth, 1970s-style
Click “Run All Stress Tests”
EM Crisis (1997–98 Style)
Hypothetical
EM currency collapse, contagion risk
Click “Run All Stress Tests”
Rolling Volatility
Volatility unavailable — covariance config not loaded.