Risk Score
Takeaway
The portfolio earned a better Sharpe ratio but suffered a larger maximum fall than the benchmark. Better return for volatility did not mean smaller losses.
Market backdrop · S&P 500's deepest fall ran from Jan 2022 to Oct 2022. Over those same dates this portfolio fell 7.7 percentage points further; this compares the same market episode, rather than two losses on different dates.
- Sharpe Ratio — measures how efficiently the portfolio turns risk into return; higher means more return for the risk taken.
- Correlation — measures how similarly holdings move; lower correlation generally means lower portfolio risk.
- Drawdown — compares the portfolio's worst peak-to-trough fall with the selected benchmark.
How to read this view
The two bars compare portfolio Sharpe with S&P 500; the dotted line marks the benchmark ratio. The return and volatility figures explain the inputs: a higher Sharpe means more return relative to the risk taken under the saved scoring method, not necessarily a higher return.
| What to examine | |||||||
|---|---|---|---|---|---|---|---|
| Sharpe ahead of sector and benchmarkSharpe Ratio4 holdings | These holdings had higher Sharpe ratios than both their matching sectors and the benchmark on matching recorded dates. Next Review how much capital sits in these holdings alongside their returns and volatility. A stronger historical ratio is not a forecast. | ||||||
| Technology | 1.08 | +0.39 | +0.52 | 52.0% | 12.0% | ||
| Financial Services | 0.66 | +0.33 | +0.10 | 24.3% | 4.0% | ||
| Consumer Defensive | 0.65 | +0.40 | +0.09 | 16.8% | 2.0% | ||
| Energy | 0.96 | +0.13 | +0.40 | 26.5% | 2.0% | ||
| Sharpe below sector and benchmarkSharpe Ratio3 holdings | These holdings had lower Sharpe ratios than both their matching sectors and the benchmark on matching recorded dates. Their return was weaker relative to the risk taken. Next Examine their return, volatility and position sizes before testing a change. Individual Sharpe ratios do not add up to portfolio Sharpe. | ||||||
| Technology | 0.42 | -0.27 | -0.14 | 28.2% | 18.0% | ||
| Healthcare | 0.04 | -0.23 | -0.53 | 32.1% | 3.0% | ||
| Consumer Defensive | 0.14 | -0.11 | -0.42 | 18.4% | 2.0% | ||
| Sharpe ahead of sector, below benchmarkSharpe Ratio4 holdings | These holdings used risk more efficiently than their matching sectors, but less efficiently than the benchmark on matching recorded dates. Next Compare the sector exposure as well as the stock itself; beating a sector does not necessarily establish a stronger risk-adjusted result than the market. | ||||||
| Consumer Cyclical | 0.32 | +0.19 | -0.24 | 36.6% | 8.0% | ||
| Communication Services | 0.45 | +0.23 | -0.11 | 45.4% | 6.0% | ||
| Consumer Cyclical | 0.32 | +0.19 | -0.24 | 59.7% | 5.0% | ||
| Financial Services | 0.44 | +0.11 | -0.12 | 22.9% | 3.0% | ||