Analyze portfolio risk with optimization and advanced risk metrics
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Note: Weights will be automatically normalized to sum to 100%.
Analyzing portfolio risk...
Value at Risk (95%)
0.00%
Daily maximum expected loss
Conditional VaR
0.00%
Expected loss if VaR is exceeded
Conditional Drawdown
0.00%
Expected loss in drawdown
Volatility (Annualized)
0.00%
Portfolio price fluctuation
Sharpe Ratio
0.00
Risk-adjusted return
CDaR Monetary Value
$0
Maximum expected drawdown in portfolio value
Understanding Dynamic Position Sizing
Dynamic Position Sizing is a risk management technique that automatically adjusts your investment position size based on market conditions and portfolio risk metrics. Our system uses Conditional Drawdown at Risk (CDaR) to determine optimal position sizes.
How It Works:
The system monitors your portfolio's current drawdown (peak-to-trough decline)
It compares CVaR to your portfolio's CDaR (expected drawdown in adverse conditions)
When CVaR approaches or exceeds CDaR thresholds, the system recommends position reduction
The reduction amount is proportional to the ratio between current CVaR and CDaR
Key Benefits:
Improved Risk Management: Systematically reduces exposure during unfavorable market conditions
Emotion Control: Eliminates emotional decision-making during market stress
Capital Preservation: Protects your portfolio from severe drawdowns
Consistent Performance: Creates more stable long-term investment results
Dynamic position sizing helps prevent catastrophic losses while maintaining overall return objectives. It's particularly valuable during market turbulence when traditional risk metrics may underestimate true portfolio risk.
Portfolio Returns with Reduction Signals
VaR Analysis & Return Distribution
Regulatory Capital Requirements
Solvency II requires insurance companies to hold capital based on a 99.5% confidence level over a 1-year time horizon.
SCR VaR (99.5%, 1-year)
0.00%
Solvency Capital Requirement
$0
Basel III requires banks to hold capital based on a 99% confidence level over a 10-day time horizon, with a multiplication factor.
VaR (99%, 10-day)
0.00%
Market Risk Capital
$0
Risk Weighted Assets (3x)
$0
Conditional Drawdown at Risk (CDaR) measures the expected loss when portfolio experiences significant drawdowns, providing a comprehensive view of downside risk.