Analytics
Performance attribution, risk analysis, and strategy metrics
Performance vs Benchmark
Portfolio
Benchmark
Drawdown Analysis
Max Drawdown-8.4%
Rolling Returns
30 Day
+4.20%72th %ile
60 Day
+7.80%81th %ile
90 Day
+9.40%78th %ile
180 Day
+14.20%85th %ile
1 Year
+32.40%89th %ile
Return Statistics
| Period | Return | Alpha |
|---|---|---|
| MTD | +2.40% | +0.10% |
| QTD | +5.80% | +0.90% |
| YTD | +18.70% | +5.30% |
| 1 Year | +32.40% | +7.60% |
| 3 Year | +78.20% | +26.10% |
| Since Inception | +142.50% | +44.10% |
Risk Metrics
Sharpe
1.84
Sortino
2.31
Max DD
-8.4%
Beta
1.12
Volatility
18.2%
VaR 95%
42.50%
Strategy Performance
| Strategy | AUM | MTD | YTD | Sharpe | Sortino | Max DD | Win Rate |
|---|---|---|---|---|---|---|---|
| Tech Growth | $4.2B | +3.20% | +24.50% | 2.12 | 2.85 | -12.4% | 68% |
| Value | $2.8B | +1.40% | +12.80% | 1.45 | 1.92 | -8.2% | 62% |
| Macro | $1.8B | +2.10% | +15.20% | 1.68 | 2.21 | -6.8% | 58% |
| Options Overlay | $1.2B | +1.80% | +9.40% | 1.92 | 2.45 | -4.2% | 72% |
Factor Exposures
Performance Attribution (YTD)
Stock Selection
+4.20%
Sector Allocation
+2.10%
Factor Timing
+1.40%
Currency
+0.30%
Residual
-0.30%
Total Alpha+7.70%
Risk Contribution
Tech Growth52% VaR
Value22% VaR
Macro18% VaR
Options Overlay8% VaR
Top Position Analytics
| Ticker | Weight | Contrib | Sharpe | Beta | Corr |
|---|---|---|---|---|---|
| NVDATech Growth | 1.5% | +2.80% | 2.45 | 1.82 | 0.78 |
| MSFTTech Growth | 2.9% | +1.90% | 1.92 | 1.12 | 0.85 |
| GOOGLTech Growth | 2.2% | +1.40% | 1.78 | 1.24 | 0.82 |
| BRK.BValue | 1.6% | +0.80% | 1.45 | 0.85 | 0.72 |
| JPMValue | 1.6% | +1.10% | 1.62 | 1.15 | 0.68 |
| GLDMacro | 1.1% | +0.40% | 0.92 | 0.12 | 0.15 |
Correlation Matrix
Portfolio
S&P 500
Nasdaq
Bonds
Gold
VIX
Portfolio
1.00
0.85
0.88
-0.15
0.12
-0.42
S&P 500
0.85
1.00
0.92
-0.18
0.08
-0.68
Nasdaq
0.88
0.92
1.00
-0.22
0.05
-0.58
Bonds
-0.15
-0.18
-0.22
1.00
0.32
0.15
Gold
0.12
0.08
0.05
0.32
1.00
0.18
VIX
-0.42
-0.68
-0.58
0.15
0.18
1.00