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Advanced Risk Analysis
Professional-grade risk metrics and portfolio analysis
Professional Risk Assessment
Analyze investments using institutional-grade risk metrics. Understand volatility, drawdowns, risk-adjusted returns, and correlations to make informed investment decisions.
Risk-Adjusted Returns
Sharpe & Sortino ratios
Downside Protection
Max drawdown & VaR
Market Sensitivity
Beta & alpha analysis
Correlations
Portfolio diversification
Select Assets for Analysis
Benchmark Asset
Beta and alpha calculations will be relative to this benchmark.
Risk vs Return Analysis
Assets in the upper-left quadrant offer better risk-adjusted returns (high return, low volatility)
Bitcoin
Sharpe Ratio
1.06
Sortino Ratio
1.37
Risk Metrics
Performance
vs S&P 500
Ethereum
Sharpe Ratio
1.12
Sortino Ratio
1.50
Risk Metrics
Performance
vs S&P 500
S&P 500
Sharpe Ratio
0.64
Sortino Ratio
0.59
Risk Metrics
Performance
vs S&P 500
Gold
Sharpe Ratio
0.70
Sortino Ratio
0.91
Risk Metrics
Performance
vs S&P 500
Asset Correlation Matrix
| Asset | | | S&P | Gold |
|---|---|---|---|---|
| Bitcoin | 1.00 | 0.74 | 0.55 | 0.16 |
| Ethereum | 0.74 | 1.00 | 0.60 | 0.15 |
| S&P 500 | 0.55 | 0.60 | 1.00 | 0.24 |
| Gold | 0.16 | 0.15 | 0.24 | 1.00 |
Lower correlations indicate better diversification potential
Complete Risk Metrics Comparison
| Asset | Sharpe | Sortino | Volatility | Max DD | VaR 95% | Calmar | Beta | Alpha | Treynor |
|---|---|---|---|---|---|---|---|---|---|
| 1.06 | 1.37 | 68.3% | -109.3% | -18.8% | 0.66 | 2.11 | 48.1% | 34.19 |
| 1.12 | 1.50 | 89.0% | -116.7% | -27.1% | 0.85 | 2.98 | 65.4% | 33.36 |
S&P | 0.64 | 0.59 | 17.9% | -26.5% | -8.4% | 0.43 | 1.00 | 0.0% | 11.40 |
Gold | 0.70 | 0.91 | 14.0% | -17.0% | -5.2% | 0.58 | 0.19 | 7.6% | 52.54 |
Risk Metrics Explained
Sharpe Ratio
Risk-adjusted return measure. Higher is better.
• >2: Excellent
• 1-2: Good
• 0.5-1: Fair
• <0.5: Poor
Sortino Ratio
Like Sharpe, but only considers downside volatility. Better for asymmetric return distributions.
Max Drawdown
Worst peak-to-trough decline. Shows maximum potential loss during any period.
Value at Risk (VaR)
Maximum expected loss in worst 5% of months. 95% confidence level.
Beta
Market sensitivity vs benchmark.
• >1: More volatile than market
• <1: Less volatile than market
Alpha
Excess return vs benchmark after adjusting for risk. Positive alpha indicates outperformance.
Calmar Ratio
Annual return divided by max drawdown. Measures return per unit of downside risk.
Treynor Ratio
Risk-adjusted return using beta instead of total volatility. Good for diversified portfolios.
Correlation
How assets move together.
• 1: Perfect positive correlation
• 0: No correlation
• -1: Perfect negative correlation
Portfolio Diversification Insights
🌟 Best Diversification Pairs
⚠️ High Risk Assets
Investment Recommendations
🛡️ Conservative Investors
Focus on lower volatility assets:
- • Gold
- • S&P 500
⚖️ Balanced Investors
Best risk-adjusted returns:
- • Ethereum (Sharpe: 1.12)
- • Bitcoin (Sharpe: 1.06)
- • Gold (Sharpe: 0.70)
🚀 Aggressive Investors
Highest potential returns:
- • Ethereum (101.8% return)
- • Bitcoin (74.7% return)
- • S&P 500 (13.9% return)
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Use these professional risk metrics to make informed investment decisions. Remember: past performance doesn't guarantee future results.