Portfolio & Risk

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

110 report specifications in this section

Showing 25–48 of 50

Category: Risk and drawdown

ID	Title and research question	Category	Chart	Priority	Data
RSK-028	Change in correlation during stress periods Does the benefit of diversification decline in falling markets?	Risk and drawdown	Matrix	Catalogue #623 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-040	Share of overnight risk How much of the total movement comes from holding overnight?	Risk and drawdown	Stacked bar	Catalogue #625 P3	Sample
RSK-041	Gap loss distribution How large a price range can the market open straight through?	Risk and drawdown	Histogram	Catalogue #626 P3	Sample
RSK-047	Currency risk decomposition Is base-currency volatility driven by the stock or by the exchange rate?	Risk and drawdown	Stacked bar	Catalogue #627 P3	Sample
RSK-050	Extreme stress replay scenario What happens if past stress periods are replayed on a given portfolio?	Risk and drawdown	Multi-series	Catalogue #628 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-029	Semivariance and total variance Does volatility come mainly from upward or downward moves?	Risk and drawdown	Stacked bar	Catalogue #962 P4	Sample
RSK-034	Tail gain-to-loss ratio Are the tails of the best and worst returns symmetric?	Risk and drawdown	Bar	Catalogue #963 P4	Sample
RSK-035	VaR backtest exceedance chart How many times did the historical risk model underestimate losses?	Risk and drawdown	Calendar	Catalogue #964 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-043	Risk stability across sample periods Do risk conclusions depend on which period of history is chosen?	Risk and drawdown	Heatmap	Catalogue #967 P4	Sample
RSK-044	Return confidence interval How uncertain is the estimated average return?	Risk and drawdown	Range	Catalogue #968 P4	Sample
RSK-045	Block-resampled drawdown scenarios What drawdowns would result from reshuffling similar historical segments?	Risk and drawdown	Range	Catalogue #969 P4	Sample
RSK-046	Volatility clustering chart Does high volatility usually persist for a while?	Risk and drawdown	Heatmap	Catalogue #970 P4	Sample
RSK-048	Risk data sample coverage Which risk estimates cannot be compared because of insufficient history?	Risk and drawdown	Table	Catalogue #971 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

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.