Risk & Return Metrics

Evaluate your portfolio's risk using return metrics, correlation, liquidity, and custom aggregated risk scores for individual tokens. Compare various metrics for optimized and benchmark portfolios.

Application Overview

Risk metrics play a crucial role in assessing the performance and potential risks associated with a portfolio. PRISM offers a comprehensive suite of risk metrics that enable users to better understand the risk-return profile of their portfolios and make well-informed investment decisions. Return metrics are essential in evaluating the performance of a portfolio and help investors gauge the potential returns associated with their investments. PRISM calculates various return metrics, enabling users to compare their portfolios against benchmarks and make well-informed decisions.

Metrics	Explanation
Volatility	Volatility measures the degree of fluctuation in the prices of assets within a portfolio. A higher volatility indicates a higher level of risk associated with the portfolio.
Sharpe Ratio	The Sharpe Ratio compares the risk-adjusted return of a portfolio to a risk-free asset, such as a Treasury bond. A higher Sharpe Ratio indicates a better risk-return trade-off.
Sortino Ratio	The Sortino Ratio is similar to the Sharpe Ratio but focuses on downside risk. It evaluates the risk-adjusted return of a portfolio, taking into account only the negative price fluctuations.
Max Drawdown	Max Drawdown measures the largest peak-to-trough decline in the value of a portfolio over a specified period. It helps assess the potential loss an investor may face during adverse market conditions.
Conditional Value at Risk (CVaR)	CVaR estimates the potential loss a portfolio may face under extreme market conditions, beyond a certain level of confidence. It provides a more comprehensive view of the tail risk associated with a portfolio.
Beta	Beta measures the sensitivity of a portfolio's returns to the overall market. A portfolio with a beta greater than one is considered more volatile than the market, while a beta less than one indicates lower volatility.
Cumulative Return	Cumulative Return measures the total percentage gain or loss on a portfolio over a specified period.
Annualized Return	Annualized Return calculates the average return of a portfolio on an annual basis, allowing for easier comparison across different time horizons.
Risk-Adjusted Return	Risk-Adjusted Return considers both the return and risk associated with a portfolio, providing a more comprehensive view of its performance.
Correlation	Correlation measures the degree to which the returns of two assets move together. PRISM calculates the correlation matrix for the assets within a portfolio, enabling users to assess the diversification benefits and identify potential sources of risk.
Liquidity	Liquidity measures the ease with which assets can be bought or sold without affecting their market price. PRISM calculates a liquidity score for each token in the portfolio, helping users understand the potential impact of their trades on market prices and make more informed investment decisions.
Risk Score	PRISM provides a custom aggregated risk score for tokens, which combines various risk metrics such as volatility, correlation, and liquidity into a single score. This comprehensive risk assessment allows users to quickly evaluate the overall risk profile of each token and make better-informed investment decisions.