Portfolio & Risk

Example portfolios, risk and drawdown, and cross-asset portfolio views.

110 report specifications in this section

Showing 1–22 of 22

ID	Title and research question	Category	Chart	Priority	Data
RSK-003	Rolling volatility Has holding risk risen recently?	Risk and drawdown	Line	Catalogue #131 P1	Sample
RSK-005	Beta market sensitivity How sensitive is the stock to market movements?	Risk and drawdown	Line	Catalogue #133 P1	Sample
RSK-006	Downside risk and Sortino Is the risk of negative returns reasonable relative to the return earned?	Risk and drawdown	Line	Catalogue #361 P2	Sample
RSK-007	Sharpe risk-adjusted return How much excess return is earned per unit of volatility?	Risk and drawdown	Line	Catalogue #362 P2	Sample
RSK-011	Volatility historical percentile Is current volatility already above most of its history?	Risk and drawdown	Line	Catalogue #365 P2	Sample
RSK-018	Historical probability of loss by holding period Does the share of historical loss samples fall as the holding period lengthens?	Risk and drawdown	Line	Catalogue #366 P2	Sample
RSK-023	Rolling benchmark correlation Is the relationship between the stock and the market changing?	Risk and drawdown	Line	Catalogue #368 P2	Sample
RSK-021	Downside beta Is sensitivity higher than usual when the market falls?	Risk and drawdown	Line	Catalogue #618 P3	Sample
RSK-024	Tracking error Is the deviation from the benchmark stable?	Risk and drawdown	Line	Catalogue #620 P3	Sample
RSK-025	Information Ratio How large is the outperformance relative to the volatility of the deviation?	Risk and drawdown	Line	Catalogue #621 P3	Sample
RSK-031	Calmar return-to-drawdown ratio How does long-term return compare with the maximum drawdown?	Risk and drawdown	Line	Catalogue #624 P3	Sample
RSK-026	Residual and idiosyncratic risk How much volatility remains after removing the market factor?	Risk and drawdown	Line	Catalogue #819 P4	Sample
RSK-030	Ulcer Index How painful is spending long periods in drawdown?	Risk and drawdown	Line	Catalogue #820 P4	Sample
RSK-042	Worst-day exclusion sensitivity How much does long-term return depend on a few extreme days?	Risk and drawdown	Line	Catalogue #821 P4	Sample
RSK-014	Rolling skewness Are recent returns skewed toward sharp falls or sharp rises?	Risk and drawdown	Line	Catalogue #960 P4	Sample
RSK-015	Rolling excess kurtosis Are extreme moves more frequent than a normal model implies?	Risk and drawdown	Line	Catalogue #961 P4	Sample
RSK-036	Normal vs historical VaR comparison Does assuming a normal distribution underestimate the tail?	Risk and drawdown	Line	Catalogue #965 P4	Sample
RSK-037	EWMA volatility vs simple volatility How does weighting recent moves more heavily change the risk estimate?	Risk and drawdown	Line	Catalogue #966 P4	Sample
RSK-032	Omega return-threshold ratio How do upside and downside compare across different return thresholds?	Risk and drawdown	Line	Catalogue #996 P4	Sample
RSK-033	Pain index and pain ratio Is the average drawdown adequate relative to the return?	Risk and drawdown	Line	Catalogue #997 P4	Sample
RSK-038	Parkinson high-low volatility How much does volatility estimated from high and low prices differ from the close-to-close method?	Risk and drawdown	Line	Catalogue #998 P4	Sample
RSK-039	Garman Klass volatility What additional volatility estimate does OHLC information provide?	Risk and drawdown	Line	Catalogue #999 P4	Sample

Priority is a planning estimate from the original specification workbook, not popularity or performance. Catalogue reports are ordered 1–1,000; product reports are ranked only within their own workbench.