Risk Management
Risk alert:Portfolio VaR is at 92% of daily threshold — consider reducing Technology exposure.
1-Day VaR (95%)
$3,020.87
Max expected loss
Max Drawdown
-4.20%
$10,573.04 peak
Portfolio Beta
0.94
vs S&P 500
Annualised Vol
14.20%
30-day realised
Full Risk Report
Value at Risk
$3K95% conf.
Beta
0.94vs SPX
Volatility
14.20%30D ann.
Sharpe Ratio
2.87
Sortino Ratio
3.14
Alpha
+2.10%annualised
Max Drawdown
-4.20%peak-to-trough
Correlation
0.78to SPX
Return Distribution
90D-0.34
Skewness
3.12
Kurtosis
-5.8%
CVaR 95%
Exposure Breakdown
Net Long Exposure94.2%
Beta-Adjusted Exp.88.6%
Technology Conc.34.0%
Crypto Exposure21.7%
Cash & Equivalents5.8%
Stress Test Scenarios
Historical| Scenario | Portfolio Impact | Estimated Loss | Recovery Est. | Severity |
|---|---|---|---|---|
| 2008 Financial Crisis | -38.40% | -$96,667.78 | 18 months | warning |
| COVID-19 Crash (2020) | -33.90% | -$85,339.52 | 5 weeks | warning |
| Dot-com Bubble (2000) | -49.10% | -$123,603.85 | 30 months | danger |
| Rate Hike Cycle +300bp | -12.40% | -$31,215.64 | 12 months | info |
| USD +15% Appreciation | -6.80% | -$17,118.25 | 6 months | info |
| Tech Sector -30% | -18.20% | -$45,816.50 | 3 months | info |
Trading Activity
21DRisk Limits
Daily VaR Limit
92%of $40,000
Max Position Size
18%of 25%
Sector Concentration
68%of 50%
Leverage Limit
5%of 1.5×