Returns & Risk
portfolio risk metrics
Whether an asset was worth holding: how much it made, how violently it moved, how deep the losses ran, and how that compares to a benchmark.
Overview is the first read: if the headline return and drawdown don't justify further work, nothing in the other tabs will change that.
Returns tells you the shape of what you're dealing with — normal-ish and well-behaved, or skewed and fat-tailed — and whether that shape holds steady across years.
Risk turns volatility and drawdowns into risk-adjusted efficiency and prices out how bad a loss could plausibly get at several confidence levels.
Benchmark separates skill from market exposure; Tails stress-tests the loss estimates for statistical honesty.
The first read on whether an investment was worth holding: how much it made, how violently it moved, and how deep a hole you had to sit through.
The shape of the return distribution — well-behaved or fat-tailed and skewed — and whether that shape has held steady over time.
How efficiently the return was earned per unit of risk taken, and how bad a loss could plausibly get.
Whether the return came from skill or from riding the benchmark's exposure, and how that relationship has moved over time.
A stricter check on the extreme-loss estimates: how stable they are, and whether the risk model is honestly calibrated.
Pick a ticker, Daily/Weekly frequency, benchmark, and risk-free rate once in the header — every tab reads from that same choice.
In Returns, switch between the raw distribution and a winsorized (tail-clamped) one to see how much a handful of extreme days is driving the shape.
In Returns, step through individual calendar years or scrub a rolling window to watch the distribution's shape drift over time.
Open the Return Behavior panel in Returns to check holding-period returns and win/loss streaks alongside the full-sample stats.