A South African portfolio-risk sandbox for understanding how five core metrics behave under changing assumptions. Adjust the controls, read the interpretation, and compare how each lens frames risk differently in rand terms.
Daily VaR
-R21,385
-2.14% of portfolio
Expected breach days
13 days
Approximate number of days per year where losses exceed the threshold.
Historical VaR
Grounded in observed returns and more likely to preserve real stress behaviour.
Parametric VaR
Fast and convenient, but it assumes return distributions behave more cleanly than they usually do in crises.
Blind spot
VaR stops at the threshold. It does not tell you how deep the losses get once the threshold is breached.
Why it matters
VaR is useful for limit-setting and daily loss conversations on rand-denominated portfolios, but it should never be mistaken for a full description of tail risk.
VaR 95%
-R21,385
The threshold for a worst typical day.
CVaR
-R32,078
Average loss inside the worst 5% of outcomes.
Close to VaR
Tail losses do not deteriorate dramatically beyond the threshold.
1.3× to 1.6× VaR
Meaningful tail risk that should be priced into capital allocation and stress scenarios.
Above 2× VaR
Severe crisis-period asymmetry. The worst days are materially worse than the headline threshold suggests.
Why it matters
CVaR makes tail losses explicit. It is the metric that tells you whether a bad month in rand terms is merely uncomfortable or potentially existential.
Sharpe ratio
0.54
Penalises all volatility, even strong upside bursts.
Sortino ratio
1.25
Focuses only on downside deviation.
Why it matters
Strategies with strong upside convexity often look mediocre on Sharpe but materially better on Sortino. That distinction matters when upside volatility in a local mandate is a feature rather than a flaw.
Max drawdown
-18.5%
Peak-to-trough loss.
Calmar ratio
0.54
Annual return divided by maximum drawdown.
Recovery time
2.1 years
Estimated time to recover at the current annual return assumption.
Under 10%
Typically conservative, with lower behavioural pressure on investors.
10% to 25%
Common in equity portfolios and active mandates, but recovery speed matters.
Above 25%
Material capital impairment that requires either exceptional upside or exceptional patience.
Why it matters
A return stream can look attractive until you confront the depth and duration of its worst decline. Drawdown is often where investor conviction breaks, regardless of whether the mandate is local equity, balanced, or income-focused.