Portfolio saved to your account.
You're signed in, but your portfolio couldn't be saved. Try Save in the portfolio menu.
Health check ·
Health check
Loading analysis
Expected return
A year, from past prices
Volatility
How much it swings in a year
Sharpe ratio
Return per unit of risk
Bad day (95%)
Lost on 1 day in 20
Worst 5% average
Average of those bad days
Max drawdown
Biggest peak-to-trough fall
How your assets move together
1.00 means two assets move in lockstep; near 0 means they move independently, which spreads risk.
Show the maths
Prices as of , one year of daily closes, lined up on the days every asset traded.
Expected return is the average daily return × 252 trading days. Volatility is the standard deviation of daily returns × √252. Sharpe ratio is return ÷ volatility, with a 0% risk-free rate.
Bad day (95%) is historical Value at Risk: the 5th percentile of daily portfolio returns (), applied to your . Worst 5% average (CVaR) is the mean of returns at or below that point (). At 99%: VaR , CVaR .
Max drawdown is the largest fall in cumulative value from a previous peak. Skewness , excess kurtosis (fat tails if above 0).
QuantLab is an educational tool, not investment advice. Past performance does not predict future results. Terms · Privacy ·