--- title: "Advanced risk figures explained | RupeeCase" description: "Sortino, Calmar, VaR and CVaR, beta, tracking error, information ratio and up and down capture: what each measures and how the app works it out." source_url: "https://www.rupeecase.com/learn/terminal/advanced-risk-figures" --- ## Watch: Advanced risk figures In Advanced, the Risk tab lists every risk figure.Advanced risk figures: Sortino, Calmar, VaR, beta and more 5 chapters, 1:21, with voice and music 1. [Chapter 1Where it is0:06](/instiv2/media/tut3/advanced-risk-figures-where-phone-dark-v3-va2.mp4) 2. [Chapter 2What it means0:29](/instiv2/media/tut3/advanced-risk-figures-meaning-phone-dark-v3-va2.mp4) 3. [Chapter 3Worked example0:06](/instiv2/media/tut3/advanced-risk-figures-example-phone-dark-v3-va2.mp4) 4. [Chapter 4How to read it0:29](/instiv2/media/tut3/advanced-risk-figures-reading-phone-dark-v3-va2.mp4) 5. [Chapter 5Watch out0:10](/instiv2/media/tut3/advanced-risk-figures-watch-phone-dark-v3-va2.mp4) Screens from the RupeeCase app on sample data. Strategy figures are model, back tested, as of the date on screen. Formula and example numbers are illustrative. Mark as watched 7In this screen ## Every button the video points at. A still from each chapter with its buttons and fields numbered. Pick a number to zoom in on it; hover the still for a close up; Esc shows the whole screen again. Sample data, no order is placed. **1**Where it is**2**What it means**4**How to read it ### Chapter 1: Where it is 1 Show the whole screen 1 Show the whole screen 1. 1**Risk figures**In Advanced, the Risk tab lists every risk figure. Shown in the video, not on this still ### Chapter 2: What it means 1 Show the whole screen 123 Show the whole screen 1. 1**VaR 95**VaR 95: the loss only 5 percent of periods went past. Shown in the video, not on this still 2. 2**Downside only**Sortino: return per unit of downside, with a target of 0. Shown in the video, not on this still 3. 3**44.7% over 22.7%**Calmar: growth per year over the deepest fall. Shown in the video, not on this still ### Chapter 4: How to read it 123 Show the whole screen 123 Show the whole screen 1. 1**Moves with NIFTY 50**Beta: how much it moved with the benchmark. Shown in the video, not on this still 2. 2**How far apart**Tracking error: how far the two wandered apart, a year. Shown in the video, not on this still 3. 3**In down periods**Up and down capture: its moves in the benchmark's up and down periods. Shown in the video, not on this still ## Where it is ScreenStrategy, Risk tabAdvanced The Risk tab of a strategy page, in Advanced: the Risk figures card and the Market link card. Any of them can be pinned to Basic from its info button. Index in this video: [Allcap](/strategies/allcap) (strategy page). ## What it means These figures describe the shape of the ride. Sortino is return per unit of downside only. Calmar is growth per year per point of the deepest fall. VaR 95 is the loss that only 5 percent of weeks went past; CVaR 95 is the average of those worst weeks. Beta is how much the strategy moved with the benchmark; tracking error is how far apart the two wandered; information ratio is the yearly gap per unit of that wander. Up and down capture compare the strategy with the benchmark in the benchmark's up weeks and down weeks. ## The formula All are worked out from weekly returns over the chosen period, against the primary benchmark, with 52 weeks to a year. Sortino uses a target of 0, while Sharpe uses 6 percent. As computed in the RupeeCase app`Sortino = average weekly return x 52 / downside deviation (losses below 0 only, a year basis) Calmar = growth per year / size of the max drawdown VaR 95 = 5th percentile weekly return, shown as a loss; CVaR 95 = average of the weeks at or below it Beta = covariance with the benchmark / benchmark variance Tracking error = standard deviation of (strategy - benchmark weekly return) x square root of 52 Information ratio = average weekly gap x 52 / tracking error Up capture = strategy / benchmark geometric average weekly return in the benchmark's up weeks (down capture: down weeks)` ## Worked example Example only * Calmar: 30% a year, max drawdown -20%: 30 / 20 = 1.5 * Information ratio: 0.2% a week ahead x 52 = 10.4%; tracking error 13%: 0.8 * Up capture: +1.2% against +1.0% a week in up weeks: 120% ## How to read it * A VaR 95 of 5%: about 1 week in 20 lost more than 5%. * Down capture under 100%: it fell less than the benchmark in the benchmark's down weeks, on average. * Beta 1.2: when the benchmark moved 1% in a week, the strategy moved about 1.2% on average. ## Watch out * Sortino uses a target of 0 and Sharpe uses 6%, so the two do not line up. * The app reads weekly history; this recording's model history is month ends, so its cards say "Monthly". * These describe the past model; they do not predict the next fall. ## Transcript Tap Sound on for voice and music. These are the captions of the video, chapter by chapter. 1. 0:00**Where it is.** In Advanced, the Risk tab lists every risk figure. 2. 0:06**What it means.** VaR 95: the loss only 5 percent of periods went past. 3. 0:36**Worked example.** Worked example, example only: Calmar: 30% a year, max drawdown -20%: 30 / 20 = 1.5. Information ratio: 0.2% a week ahead x 52 = 10.4%; tracking error 13%: 0.8. Up capture: +1.2% against +1.0% a week in up weeks: 120%. 4. 0:42**How to read it.** Beta: how much it moved with the benchmark. 5. 1:11**Watch out.** Watch out: Sortino uses a target of 0 and Sharpe uses 6%, so the two do not line up. The app reads weekly history; this recording's model history is month ends, so its cards say "Monthly". These describe the past model; they do not predict the next fall. ## Terms in this tutorial * [Sortino ratio](/learn/glossary#sortino-ratio)Like Sharpe but only penalises downside volatility. * [beta](/learn/glossary#beta)Sensitivity of a portfolio to the market. * [tracking error](/learn/glossary#tracking-error)How far a portfolio's returns wander from its benchmark's, measured as the ups and downs of the gap between the two. * [volatility](/learn/glossary#volatility)How much returns fluctuate. ## Learn it in depth * [Module 2.3: Risk Metrics That Matter8 min read, free](/learn/path-2/module-2-3-risk-metrics-that-matter) * [Module 4.4: Performance Measurement9 min read, free](/learn/path-4/module-4-4-performance-measurement) * [Module 4.5: Risk Management for Systematic Portfolios9 min read, free](/learn/path-4/module-4-5-risk-management) TKeep watching ## Next tutorial. [1:00Next tutorial, Make it yours and AdvancedNumbers: how do lakh, crore, Short and Full change a figure?Customise, Numbers: Indian or Plain digit grouping and rupee figures Short or Full, with 12.35 L and 1.2 Cr read out, and what stays as it is.Watch next](/learn/terminal/numbers-lakh-crore) ### Related tutorials * [0:54Read a strategy, AdvancedSharpe and volatility: how bumpy was the ride?0:54 video, AdvancedWatched](/learn/terminal/sharpe-and-volatility) * [0:56Read a strategy, BasicMax drawdown: how bad did it get?0:56 video, BasicWatched](/learn/terminal/max-drawdown) * [1:08Read a strategy, AdvancedAlpha: which of the two alphas is this?1:08 video, AdvancedWatched](/learn/terminal/which-alpha) [All 67 terminal tutorials](/learn/terminal/) Try it in Practice ## See it on your own screen. Practice mode runs the whole terminal without real orders, so you can open any strategy and find every screen from this tutorial for yourself. [Sign up for RupeeCase](https://invest.rupeecase.com/signup)[Glossary](/learn/glossary) Explore next ## Keep learning the terminal. * [TutorialCustomise: how do I set what each page shows?1:26 video, Basic](/learn/terminal/customise) * [TutorialReturn distribution: what do skew and kurtosis say?1:04 video, Advanced](/learn/terminal/shape-of-weekly-returns) * [TutorialTreynor, Omega and weeks ahead: three more ways to read risk?0:59 video, Advanced](/learn/terminal/treynor-omega-weeks-ahead) * [TutorialRank table: how does a dynamic allocation share out its money?1:11 video, Advanced](/learn/terminal/rank-table-dynamic-allocation) * [TutorialExit rank and strength filters: when does a sleeve sell?1:18 video, Advanced](/learn/terminal/exit-rank-and-strength-filters) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. 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