Am I taking more risk than my returns justify?
An overview question asks what a portfolio holds and what it is worth: the positions, the total, and how each one weighs against the whole. The figures are the latest price of everything held, with cash counted alongside the securities.
Worked through on a sample portfolio. The figures below are that portfolio’s, not yours.
Here are the key figures that show how your returns compare with the risk you’re taking.
| Measure | Value |
|---|---|
| Portfolio value | 90.983,96 € |
| Total invested (capital) | 63.990,15 € |
| All-time return (time-weighted) (%) | +45,96% |
| Money-weighted return (%) | +11,25% |
| Annualized volatility (%) | 16,36% |
| Annualized volatility (holdings window) (%) | 8,85 |
| Sharpe ratio | 0,52 |
| Sortino ratio | 0,72 |
| Max drawdown (%) | -25,49% |
| Distance from ATH (%) | -2,15% |
What these numbers mean for you
- Your portfolio’s time-weighted return is +45,96%% while annualized volatility is 16,36%%. The Sharpe ratio of 0,52 summarises return per unit of risk.
- The Sortino ratio (0,72) focuses on downside volatility; it is lower than the Sharpe because downside volatility is higher.
- Max drawdown was -25,49%% over 112 days, showing the largest historical peak-to-trough loss you experienced.
- A shorter-term holdings volatility calculation shows lower annualized volatility (8,85%), driven by how individual holdings contributed over the last year.
Holdings that contribute most to portfolio volatility (annualized volatility contribution %)
| Asset | Volatility contribution (%) |
|---|---|
| Apple Inc. | 20,9 |
| Microsoft Corp. | 15,98 |
| Deutsche Lufthansa AG | 14,48 |
| iShares Core MSCI World UCITS ETF | 10,69 |
| Bitcoin | 10,4 |
| Ethereum | 10,24 |
| (remaining holdings smaller contributors) |
Summary sentence
- Your returns and risk metrics are: time-weighted return +45,96%% with annualized volatility 16,36%%, giving a Sharpe of 0,52 and a Sortino of 0,72 — these together describe how much return you achieved per unit of risk taken.
If you’d like, I can show the same comparison in annualised return versus volatility charts or break down volatility contributors further.
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Related questions
See this for your own portfolio
The assistant answers the same question about your own holdings, with your figures and today’s prices. Import from your broker, or open the demo portfolio and ask it there.