02 /Portfolio · risk
Where the risk sits, name by name.
Volatility, beta, drawdown and each name's contribution to portfolio risk, from reference closes at the 31 Jul 2026 weights held constant. Indicative: no trades, cash or fees; not a risk-system output.
Portfolio · 250 sessions · 23 Sept 2025 → 29 Sept 2026
Volatility, ann.
15.1%
Nifty 500 14.0%
Beta to Nifty 500
1.03
correlation 0.95
Tracking error
4.6%
ann. stdev of daily active return
Max drawdown
-14.1%
peak to trough in window
Diversification ratio
1.84
Σ wᵢσᵢ ÷ σ portfolio
Window return
-3.0%
Nifty 500 -5.5%
40 names with prices covering 86.2% of the book, renormalised to 100%; cash and undisclosed positions excluded. Daily simple returns, 250 sessions a year.
Contribution to risk
Who carries the volatility
| Holding | Sector | Weight | Risk share | Vol | Beta | Corr · book | Max DD | Return |
|---|---|---|---|---|---|---|---|---|
| Axis Bank | Banking | 6.0% | 7.9% | 24.9% | 1.12 | 0.70 | -17.2% | +5.92% |
| Shriram Finance | NBFC | 3.5% | 7.7% | 35.5% | 1.94 | 0.81 | -21.0% | +54.73% |
| ICICI Bank | Banking | 7.0% | 6.5% | 19.3% | 0.82 | 0.63 | -16.1% | −7.80% |
| Bajaj Finance | NBFC | 3.5% | 5.7% | 30.6% | 1.46 | 0.69 | -26.7% | −3.25% |
| InterGlobe Aviation | Misc | 2.7% | 5.5% | 33.9% | 1.79 | 0.78 | -33.5% | −15.23% |
| Kaynes Technology India | Info Tech | 2.4% | 5.0% | 54.0% | 1.66 | 0.50 | -60.5% | −50.43% |
| Trent | FMCG | 3.1% | 4.8% | 45.2% | 1.11 | 0.45 | -56.1% | −47.41% |
| State Bank of India | Banking | 4.0% | 4.8% | 23.6% | 1.04 | 0.66 | -23.5% | +12.80% |
| One 97 Communications | Info Tech | 2.2% | 4.0% | 39.5% | 1.63 | 0.60 | -29.9% | +40.70% |
| UltraTech Cement | Building Materials | 2.8% | 3.9% | 23.1% | 1.23 | 0.78 | -20.6% | −14.40% |
| Max Financial Services | Insurance | 2.9% | 3.8% | 29.1% | 1.15 | 0.59 | -25.5% | −10.55% |
| Larsen & Toubro | Industrials | 2.4% | 3.4% | 25.1% | 1.36 | 0.74 | -24.3% | +2.87% |
| Dalmia Bharat | Building Materials | 2.4% | 3.3% | 27.8% | 1.18 | 0.64 | -32.3% | −31.16% |
| IDFC First Bank | Banking | 2.3% | 3.3% | 31.8% | 1.32 | 0.58 | -31.6% | +12.04% |
| Ramkrishna Forgings | Automobile | 2.1% | 3.0% | 35.8% | 1.27 | 0.52 | -20.0% | +28.63% |
| Hindustan Unilever | FMCG | 3.3% | 2.4% | 21.7% | 0.68 | 0.45 | -28.4% | −27.54% |
| ICICI Lombard General Insurance | Insurance | 3.1% | 2.4% | 25.1% | 0.70 | 0.41 | -30.1% | −19.68% |
| Glenmark Pharmaceuticals | HealthCare | 2.4% | 2.3% | 26.7% | 0.93 | 0.48 | -11.6% | +21.00% |
| Bharti Airtel | Telecom | 4.0% | 2.2% | 20.8% | 0.55 | 0.34 | -18.8% | −9.46% |
| HDFC Bank | Banking | 1.8% | 2.0% | 21.6% | 1.07 | 0.67 | -31.9% | −25.05% |
| PVR Inox | Media | 1.5% | 1.5% | 31.4% | 0.92 | 0.41 | -26.0% | +7.41% |
| Britannia Industries | FMCG | 2.0% | 1.5% | 19.3% | 0.61 | 0.50 | -21.8% | −20.17% |
| Bajaj Auto | Automobile | 1.6% | 1.4% | 22.7% | 0.86 | 0.49 | -13.4% | +19.40% |
| Indegene | Info Tech | 1.2% | 1.2% | 27.3% | 0.84 | 0.46 | -27.0% | +4.77% |
| Varun Beverages | FMCG | 1.0% | 1.1% | 29.5% | 1.09 | 0.50 | -26.4% | −7.32% |
| Varroc Engineering | Automobile | 0.8% | 1.1% | 35.5% | 1.29 | 0.51 | -30.2% | +30.81% |
| SBI Life Insurance Company | Insurance | 1.1% | 0.9% | 20.9% | 0.82 | 0.54 | -21.6% | −6.60% |
| Chambal Fertilisers | Chemicals | 0.9% | 0.9% | 26.2% | 0.93 | 0.51 | -24.2% | −23.38% |
| Astral | Industrials | 1.0% | 0.9% | 30.6% | 0.84 | 0.38 | -24.6% | −4.41% |
| Campus Activewear | Retail | 1.2% | 0.9% | 26.2% | 0.67 | 0.37 | -26.5% | −24.78% |
| Aurobindo Pharma | HealthCare | 1.6% | 0.9% | 25.9% | 0.49 | 0.28 | -9.7% | +51.93% |
| Avenue Supermarts | Retail | 1.3% | 0.8% | 24.0% | 0.59 | 0.34 | -21.9% | −19.72% |
| Dilip Buildcon | Industrials | 0.6% | 0.7% | 35.3% | 1.05 | 0.44 | -31.0% | −26.55% |
| Granules India | HealthCare | 0.7% | 0.7% | 29.2% | 0.95 | 0.44 | -12.9% | +64.69% |
| Medplus Health Services | HealthCare | 0.8% | 0.5% | 30.1% | 0.57 | 0.27 | -31.9% | −20.25% |
| Dr Reddy's Laboratories | HealthCare | 0.7% | 0.3% | 23.6% | 0.44 | 0.27 | -17.5% | −3.80% |
| Archean Chemical Industries | Chemicals | 0.6% | 0.3% | 32.3% | 0.46 | 0.23 | -35.7% | −30.43% |
| Vedanta Aluminium Metal | Materials | 2.2% | 0.3% | 18.7% | 0.09 | 0.09 | -18.5% | −12.39% |
| Infosys | Info Tech | 0.7% | 0.3% | 30.0% | 0.55 | 0.16 | -41.7% | −32.28% |
| Indo-MIM | Industrials | 0.8% | 0.0% | 25.7% | 0.02 | 0.03 | -11.3% | +68.27% |
Risk share = weight × marginal contribution ÷ portfolio volatility (Euler decomposition; shares sum to 100%). Red when a name's risk share exceeds its weight share by 30%+: it is adding more risk than capital.
By sector
Risk share vs weight
| Sector | Weight | Risk share | Beta |
|---|---|---|---|
| Banking | 21.1% | 24.5% | 1.02 |
| FMCG | 9.4% | 9.8% | 0.85 |
| Insurance | 7.1% | 7.2% | 0.90 |
| NBFC | 7.0% | 13.4% | 1.70 |
| Info Tech | 6.5% | 10.4% | 1.38 |
| HealthCare | 6.2% | 4.7% | 0.72 |
| Building Materials | 5.2% | 7.1% | 1.21 |
| Industrials | 4.8% | 5.1% | 0.99 |
| Automobile | 4.5% | 5.4% | 1.13 |
| Telecom | 4.0% | 2.2% | 0.55 |
| Misc | 2.7% | 5.5% | 1.79 |
| Retail | 2.5% | 1.7% | 0.63 |
| Materials | 2.2% | 0.3% | 0.09 |
| Media | 1.5% | 1.5% | 0.92 |
| Chemicals | 1.5% | 1.3% | 0.74 |
Beta scenarios
If the index moves
| Scenario | Book (β × move) |
|---|---|
| Nifty 500 -20% | −20.58% |
| Nifty 500 -10% | −10.29% |
| Nifty 500 -5% | −5.14% |
| Nifty 500 +5% | +5.14% |
| Nifty 500 +10% | +10.29% |
Linear beta only; ignores stock-specific moves and convexity.
Correlation
Daily return correlation · largest 16 names
| ICICI Bank | Axis Bank | State Bank of India | Bharti Airtel | Bajaj Finance | Shriram Finance | Hindustan Unilever | Trent | ICICI Lombard General | Max Financial Services | UltraTech Cement | InterGlobe Aviation | Glenmark Pharmaceutica | Kaynes Technology Indi | Larsen & Toubro | Dalmia Bharat | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ICICI Bank | .51 | .37 | .16 | .45 | .51 | .29 | .19 | .25 | .36 | .51 | .46 | .20 | .19 | .44 | .39 | |
| Axis Bank | .51 | .51 | .12 | .50 | .59 | .30 | .25 | .14 | .44 | .51 | .49 | .21 | .22 | .54 | .43 | |
| State Bank of India | .37 | .51 | .19 | .41 | .57 | .22 | .22 | .23 | .38 | .51 | .51 | .27 | .23 | .44 | .48 | |
| Bharti Airtel | .16 | .12 | .19 | .27 | .21 | .15 | .14 | .09 | .14 | .24 | .22 | .22 | .10 | .22 | .17 | |
| Bajaj Finance | .45 | .50 | .41 | .27 | .61 | .26 | .27 | .22 | .44 | .52 | .50 | .29 | .23 | .52 | .40 | |
| Shriram Finance | .51 | .59 | .57 | .21 | .61 | .29 | .30 | .30 | .50 | .59 | .64 | .35 | .31 | .59 | .51 | |
| Hindustan Unilever | .29 | .30 | .22 | .15 | .26 | .29 | .10 | .18 | .15 | .37 | .29 | .20 | .31 | .28 | .21 | |
| Trent | .19 | .25 | .22 | .14 | .27 | .30 | .10 | .14 | .21 | .29 | .33 | .09 | .25 | .24 | .25 | |
| ICICI Lombard General Insu | .25 | .14 | .23 | .09 | .22 | .30 | .18 | .14 | .33 | .35 | .27 | .20 | .16 | .31 | .23 | |
| Max Financial Services | .36 | .44 | .38 | .14 | .44 | .50 | .15 | .21 | .33 | .48 | .38 | .24 | .18 | .42 | .36 | |
| UltraTech Cement | .51 | .51 | .51 | .24 | .52 | .59 | .37 | .29 | .35 | .48 | .59 | .38 | .38 | .62 | .65 | |
| InterGlobe Aviation | .46 | .49 | .51 | .22 | .50 | .64 | .29 | .33 | .27 | .38 | .59 | .27 | .43 | .58 | .50 | |
| Glenmark Pharmaceuticals | .20 | .21 | .27 | .22 | .29 | .35 | .20 | .09 | .20 | .24 | .38 | .27 | .21 | .38 | .23 | |
| Kaynes Technology India | .19 | .22 | .23 | .10 | .23 | .31 | .31 | .25 | .16 | .18 | .38 | .43 | .21 | .30 | .31 | |
| Larsen & Toubro | .44 | .54 | .44 | .22 | .52 | .59 | .28 | .24 | .31 | .42 | .62 | .58 | .38 | .30 | .47 | |
| Dalmia Bharat | .39 | .43 | .48 | .17 | .40 | .51 | .21 | .25 | .23 | .36 | .65 | .50 | .23 | .31 | .47 |
Green = move together, red = move apart. Pairs above .70 are effectively one bet; a book of low pairwise correlations is what makes the diversification ratio above 1.
Tail sessions
Worst and best days in the window
Worst
| Date | Book | Nifty 500 |
|---|---|---|
| 23 Mar 2026 | −3.48% | −3.11% |
| 19 Mar 2026 | −3.24% | −3.16% |
| 30 Mar 2026 | −2.79% | −2.34% |
| 12 May 2026 | −2.21% | −2.18% |
| 13 Mar 2026 | −2.20% | −2.31% |
Best
| Date | Book | Nifty 500 |
|---|---|---|
| 8 Apr 2026 | +4.33% | +3.95% |
| 25 Mar 2026 | +2.72% | +1.95% |
| 3 Feb 2026 | +2.66% | +2.67% |
| 12 Jun 2026 | +2.33% | +2.19% |
| 6 Apr 2026 | +2.09% | +1.22% |
NoteRead with the published risk table. The factsheet's 3-year statistics (Portfolio → Risk) are computed on client NAVs and are the official numbers; this page is a reference-price approximation whose value is the decomposition by name and sector, not the headline figure. Macro sensitivities give the same names' betas to rates, oil and the rupee.