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Which metric is most important to you?
- Thread starter tonyf
- Start date
Personally not a fan of IBKRs risk metrics. I prefer uploading my portfolio into PORT on Bloomberg (I do the same with Refinitiv Eikon and their risk tool as well) and analyzing risk from a factor and active risk standpoint.I don't pay attention to broker-generated risk metrics really, but rely on my own spreadsheets instead (very simplistic stuff and old school). I have just been playing with IBKR's statements and produced something very exhaustive with PortfolioAnalyst, from inception to date:
View attachment 308919
Reading about those risk metrics, I wonder which are important to keep track of and/or improve?
Thanks
However, within IBKR I'd say standard deviation, correlation, and sharpe ratios are you "gross margins" while your risk metrics are max drawdowns, daily VaR (depending on the type of port you are running), and your portfolio covariance (proxy is portfolio beta).
Looking good tho!
Personally not a fan of IBKRs risk metrics. I prefer uploading my portfolio into PORT on Bloomberg (I do the same with Refinitiv Eikon and their risk tool as well) and analyzing risk from a factor and active risk standpoint.
However, within IBKR I'd say standard deviation, correlation, and sharpe ratios are you "gross margins" while your risk metrics are max drawdowns, daily VaR (depending on the type of port you are running), and your portfolio covariance (proxy is portfolio beta).
Looking good tho!
thanks for that.
that is really a good post with good information.Personally not a fan of IBKRs risk metrics. I prefer uploading my portfolio into PORT on Bloomberg (I do the same with Refinitiv Eikon and their risk tool as well) and analyzing risk from a factor and active risk standpoint.
However, within IBKR I'd say standard deviation, correlation, and sharpe ratios are you "gross margins" while your risk metrics are max drawdowns, daily VaR (depending on the type of port you are running), and your portfolio covariance (proxy is portfolio beta).
Looking good tho!