Risk Metrics, Correlation & Factor Analysis
Risk Dashboard
Risk Dashboard and Risk Analytics provide:
- VaR (Value at Risk) — Maximum loss at 95%/99% confidence
- CVaR (Conditional VaR) — Average loss beyond VaR threshold
- Beta — Sensitivity to market movements
- Sharpe Ratio — Risk-adjusted return
- Sortino Ratio — Downside-only risk-adjusted return
- Max Drawdown — Largest peak-to-trough decline
- Tracking Error — Volatility of excess returns vs benchmark
Correlation Analysis
| Page | Description |
|---|---|
| Correlation Matrix | Full correlation heatmap of all holdings |
| Asset Correlation | Asset-class level correlation |
| Concentration Risk | Position size and sector concentration |
| Liquidity Analysis | Liquidity risk assessment |
Factor Analysis
Factor Analysis and Factors show exposure to academic risk factors:
- Market (Beta) — Overall market sensitivity
- Size (SMB) — Small vs large cap tilt
- Value (HML) — Value vs growth tilt
- Profitability (RMW) — High vs low profitability
- Investment (CMA) — Conservative vs aggressive investment
- Momentum — Trend-following exposure
The universal auto-classifier handles all asset types: equities, ETFs, mutual funds, bond funds, CEFs, and preferred stocks.
Risk Parity
Risk Parity allocates capital so each holding contributes equal risk to the portfolio.