Value at Risk Profile

XRPUSDT Risk Profile

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Risk Assessment

We use the historical simulation methodology to estimate Value at Risk and Expected Shortfall for cryptocurrency risks in an intuitive and defendable manner. This method takes into account the actual returns experienced by the asset over a window.

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1-Day 99% ES: Upgrade to Access
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VAR Definition: Value at Risk estimates the loss estimated beyond a statistical threshold.
ES Definition: Expected Shortfall estimates the average loss when losses exceed the VaR threshold.

More details on understanding VAR here and here.

Estimating $ Value At Risk

XRPUSDT Owned:

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XRPUSDT Risk-Adjusted Returns

Primary Ratios

Sharpe Ratio: Upgrade to Access
Sortino Ratio: Upgrade to Access
Calmar Ratio: Upgrade to Access

Supporting Metrics

CAGR: Upgrade to Access
Avg Daily Return: Upgrade to Access
Volatility: Upgrade to Access
Downside Dev: Upgrade to Access
Max Drawdown: Upgrade to Access
Risk-Free Rate: Upgrade to Access

Crypto Peer Comparisons

EXAMPLE DATA - Not Real

Cryptocurrency Assets

Asset	Sharpe	Sortino	Calmar
BTC	1.24	1.89	0.67
ETH	1.18	1.72	0.58
LTC	0.89	1.34	0.45
BCH	0.76	1.12	0.38
SOL	1.45	2.23	0.82
BNB	1.32	1.95	0.71
XRP	0.92	1.41	0.49
TRX	0.68	1.03	0.34
DOGE	0.84	1.28	0.42
ADA	0.95	1.47	0.52
LINK	1.12	1.68	0.61
HBAR	0.88	1.31	0.46
SHIB	0.73	1.09	0.36
UNI	1.08	1.61	0.56
DOT	1.01	1.54	0.51

Traditional Benchmarks

EXAMPLE DATA - Not Real

Asset Classes

Asset Class	Sharpe	Sortino	Calmar
S&P 500	0.65	0.98	0.78
NASDAQ	0.72	1.06	0.85
Gold (GLD)	0.38	0.54	0.42
US Bonds	0.31	0.47	0.68
Hedge Funds	0.89	1.24	1.12
REITs	0.58	0.86	0.71

Traditional asset benchmarks for risk-adjusted performance comparison with cryptocurrency assets. These represent typical performance ranges for major asset classes.

Formulas & Definitions

Sharpe Ratio

(Return - Risk-Free Rate) / Standard Deviation

Measures excess return per unit of total risk

Sortino Ratio

(Return - Risk-Free Rate) / Downside Deviation

Measures excess return per unit of downside risk only

Calmar Ratio

CAGR / Maximum Drawdown

Measures return relative to worst historical loss

Key Terms:

CAGR: Compound Annual Growth Rate - geometric average annual return

Standard Deviation: Annualized volatility of all returns (up and down)

Downside Deviation: Volatility calculated using only negative returns

Max Drawdown: Largest peak-to-trough decline in portfolio value

Risk-Free Rate: 3-month US Treasury rate used as baseline return

Interpretation Guide:

Sharpe > 1.0: Good risk-adjusted performance

Sharpe > 2.0: Excellent risk-adjusted returns

Sortino > Sharpe: Returns are positively skewed (good upside)

High Calmar: Strong returns relative to worst historical losses

Negative Ratios: Poor risk-adjusted performance vs risk-free rate

GARCH Volatility Analysis

Realized Volatility

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GARCH Forecasts

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Price Projections

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Stress Scenarios

Historical stress scenarios are recorded at both a macro and idiosynchratic level. We track both historical cryptocurrency specific stress events and events that occur across all financial markets. Please note that at an individual stress level, we only include events under "stress" that have a negative impact for long positions. Please refer to our stress event catelog to view risk events that have both a positive and negative effect. Positive %+ changes are stress events for a Short Futures position.

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Risk Disclaimer

Cryptocurrency assets involve numerous risks that may not be suitable for your financial needs or risk appetite. All metrics shown above are estimations and may not reflect true performance. Risk of 100% ruin is always possible.

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