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Risk Analysis
Basic Risk Assessment
Compare assets across three fundamental risk metrics:
Volatility
Measures the annualized standard deviation of monthly returns. Higher volatility means larger price swings.
Sharpe Ratio
Risk-adjusted return metric. Higher values indicate better return per unit of risk taken.
Max Drawdown
The largest peak-to-trough decline observed. Shows the worst-case cumulative loss scenario.
Select Assets to Compare
Volatility68.3%
Sharpe1.06
Sortino2.13
Max Drawdown-109.3%
Beta2.11
Alpha+48.1%
Volatility89.0%
Sharpe1.12
Sortino2.43
Max Drawdown-116.7%
Beta2.98
Alpha+65.4%
S&P
Volatility17.9%
Sharpe0.64
Sortino0.99
Max Drawdown-26.5%
Beta1.00
Alpha+0.0%
Au
Volatility14.0%
Sharpe0.70
Sortino1.33
Max Drawdown-17.0%
Beta0.19
Alpha+7.6%