Executive Summary
Portfolio-level risk snapshot and worst/best risk-adjusted asset
This portfolio covers 8 assets over 500 trading days. Portfolio-level 1-day VaR at 95% confidence is -3.4%. The worst risk-adjusted asset is META (Sharpe: -0.99, max drawdown: -88.57%). The best risk-adjusted asset is GOOGL (Sharpe: 0.35).
Risk & Performance Metrics by Asset
Per-asset VaR, Sharpe, Sortino, max drawdown and annualised volatility
| asset | sharpe | var_95 | var_99 | sortino | max_drawdown | ann_volatility |
|---|---|---|---|---|---|---|
| AAPL | 0.077 | -0.0342 | -0.048 | 0.119 | -0.3745 | 0.3262 |
| AMZN | -0.674 | -0.0314 | -0.0413 | -1.145 | -0.5971 | 0.301 |
| GOOGL | 0.348 | -0.0309 | -0.0439 | 0.64 | -0.4438 | 0.3209 |
| JPM | 0.273 | -0.0359 | -0.046 | 0.434 | -0.3499 | 0.3284 |
| META | -0.989 | -0.0355 | -0.0448 | -1.665 | -0.8857 | 0.3283 |
| MSFT | -0.203 | -0.0324 | -0.0468 | -0.322 | -0.3442 | 0.3077 |
| TSLA | -0.239 | -0.0331 | -0.0454 | -0.387 | -0.4851 | 0.3123 |
| V | -0.302 | -0.036 | -0.0504 | -0.478 | -0.4089 | 0.3306 |
Across 8 assets, Sharpe ratios range from -0.99 to 0.35. V shows the worst 1-day VaR at -3.6%. Annualised volatility ranges from 30.1% to 33.1%. GOOGL leads on risk-adjusted returns with Sharpe 0.35.
30-Day Rolling Volatility
Annualised rolling 30-day volatility by asset
Rolling 30-day annualised volatility is shown for all 8 assets across 3968 data points. Spikes in rolling volatility indicate periods of elevated market stress. Assets with persistently high rolling volatility carry greater uncertainty and may warrant reduced position sizing.
Asset Return Correlation Matrix
Pairwise Pearson correlation of daily returns
The correlation heatmap covers all 8 assets. The most correlated pair is META–JPM (r = 0.046). 17 asset pairs show negative correlations, providing natural hedging benefits. High cross-asset correlations reduce diversification benefit and increase tail risk.
Return Distribution with VaR Markers
Histogram of daily returns by asset with 95% VaR reference
Return histograms are shown for all 8 assets using 20 equal-width bins. The distribution shape reveals whether fat tails exist beyond the 95% VaR threshold. Assets with higher kurtosis have more extreme return observations than a normal distribution would predict, meaning parametric VaR may underestimate true tail risk.
Cumulative Drawdown by Asset
Drawdown series for all assets relative to running peak
Drawdown series are computed as cumulative return minus cumulative peak for each asset. META experienced the deepest maximum drawdown at -88.57% of peak value. Drawdown duration and depth together reveal resilience — assets that recover quickly pose less long-term capital risk even with deep short-term declines.
Annualised Volatility by Asset
Annualised volatility ranking — highest volatility assets identified
V has the highest annualised volatility at 33.1%, versus a portfolio average of 31.9%. Assets ranked highest here contribute disproportionately to total portfolio variance and should be examined first for position-sizing or hedging interventions.