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 · 496 sessions · 24 Sept 2024 → 29 Sept 2026
Volatility, ann.
14.8%
Nifty 500 14.2%
Beta to Nifty 500
0.98
correlation 0.94
Tracking error
4.9%
ann. stdev of daily active return
Max drawdown
-17.3%
peak to trough in window
Diversification ratio
1.87
Σ wᵢσᵢ ÷ σ portfolio
Window return
-1.6%
Nifty 500 -9.3%
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 |
|---|---|---|---|---|---|---|---|---|
| Shriram Finance | NBFC | 3.5% | 7.5% | 35.6% | 1.76 | 0.76 | -29.5% | +36.15% |
| Axis Bank | Banking | 6.0% | 7.4% | 23.7% | 1.00 | 0.66 | -25.8% | −2.78% |
| ICICI Bank | Banking | 7.0% | 6.2% | 18.4% | 0.75 | 0.61 | -19.0% | −2.25% |
| Trent | FMCG | 3.1% | 5.2% | 42.6% | 1.23 | 0.50 | -73.3% | −65.44% |
| Kaynes Technology India | Info Tech | 2.4% | 5.2% | 51.2% | 1.73 | 0.54 | -60.5% | −37.14% |
| Bajaj Finance | NBFC | 3.5% | 5.0% | 29.0% | 1.21 | 0.63 | -26.7% | +28.21% |
| InterGlobe Aviation | Misc | 2.7% | 4.6% | 31.2% | 1.39 | 0.70 | -35.9% | −1.18% |
| State Bank of India | Banking | 4.0% | 4.6% | 22.3% | 0.99 | 0.65 | -23.5% | +20.31% |
| One 97 Communications | Info Tech | 2.2% | 4.5% | 43.3% | 1.62 | 0.60 | -34.8% | +158.31% |
| UltraTech Cement | Building Materials | 2.8% | 3.5% | 22.8% | 1.06 | 0.71 | -20.6% | −9.47% |
| Max Financial Services | Insurance | 2.9% | 3.4% | 27.3% | 0.92 | 0.54 | -25.5% | +16.43% |
| IDFC First Bank | Banking | 2.3% | 3.2% | 30.7% | 1.25 | 0.58 | -31.6% | +7.35% |
| Larsen & Toubro | Industrials | 2.4% | 3.2% | 25.0% | 1.23 | 0.67 | -24.3% | −1.02% |
| Ramkrishna Forgings | Automobile | 2.1% | 3.0% | 37.2% | 1.17 | 0.49 | -55.8% | −29.66% |
| Dalmia Bharat | Building Materials | 2.4% | 3.0% | 26.6% | 1.02 | 0.60 | -35.0% | −13.83% |
| ICICI Lombard General Insurance | Insurance | 3.1% | 2.9% | 24.6% | 0.75 | 0.48 | -37.2% | −33.41% |
| Bharti Airtel | Telecom | 4.0% | 2.6% | 20.9% | 0.63 | 0.39 | -18.8% | +1.19% |
| Glenmark Pharmaceuticals | HealthCare | 2.4% | 2.5% | 30.1% | 0.88 | 0.43 | -29.7% | +42.57% |
| PVR Inox | Media | 1.5% | 1.9% | 32.2% | 1.05 | 0.49 | -51.2% | −29.93% |
| Hindustan Unilever | FMCG | 3.3% | 1.8% | 20.6% | 0.48 | 0.35 | -38.5% | −38.46% |
| HDFC Bank | Banking | 1.8% | 1.8% | 19.8% | 0.90 | 0.63 | -32.2% | −17.87% |
| Bajaj Auto | Automobile | 1.6% | 1.7% | 25.5% | 0.96 | 0.52 | -42.3% | −12.38% |
| Aurobindo Pharma | HealthCare | 1.6% | 1.4% | 27.8% | 0.78 | 0.40 | -33.0% | +14.64% |
| Indegene | Info Tech | 1.2% | 1.4% | 34.1% | 0.90 | 0.42 | -42.2% | −12.29% |
| Britannia Industries | FMCG | 2.0% | 1.2% | 20.6% | 0.52 | 0.38 | -29.0% | −22.16% |
| Varun Beverages | FMCG | 1.0% | 1.2% | 32.5% | 1.04 | 0.48 | -41.6% | −34.26% |
| Varroc Engineering | Automobile | 0.8% | 1.2% | 37.3% | 1.32 | 0.52 | -36.7% | +47.79% |
| Campus Activewear | Retail | 1.2% | 1.1% | 30.2% | 0.79 | 0.40 | -42.9% | −41.14% |
| Astral | Industrials | 1.0% | 1.1% | 29.0% | 0.96 | 0.47 | -38.9% | −30.29% |
| Chambal Fertilisers | Chemicals | 0.9% | 1.1% | 31.3% | 1.11 | 0.48 | -43.7% | −15.89% |
| SBI Life Insurance Company | Insurance | 1.1% | 1.0% | 21.7% | 0.78 | 0.51 | -27.8% | −9.64% |
| Avenue Supermarts | Retail | 1.3% | 0.9% | 27.4% | 0.61 | 0.33 | -36.9% | −29.21% |
| Granules India | HealthCare | 0.7% | 0.9% | 33.7% | 1.24 | 0.49 | -30.0% | +54.72% |
| Dilip Buildcon | Industrials | 0.6% | 0.9% | 37.6% | 1.29 | 0.49 | -32.9% | −26.83% |
| Medplus Health Services | HealthCare | 0.8% | 0.6% | 30.9% | 0.71 | 0.33 | -33.6% | −3.67% |
| Archean Chemical Industries | Chemicals | 0.6% | 0.5% | 36.3% | 0.72 | 0.30 | -42.2% | −29.00% |
| Dr Reddy's Laboratories | HealthCare | 0.7% | 0.4% | 22.5% | 0.53 | 0.33 | -21.7% | −5.94% |
| Infosys | Info Tech | 0.7% | 0.4% | 27.9% | 0.68 | 0.25 | -50.7% | −46.46% |
| Vedanta Aluminium Metal | Materials | 2.2% | 0.1% | 13.3% | 0.05 | 0.06 | -18.5% | −12.39% |
| Indo-MIM | Industrials | 0.8% | 0.0% | 18.3% | 0.01 | 0.02 | -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% | 23.2% | 0.93 |
| FMCG | 9.4% | 9.5% | 0.80 |
| Insurance | 7.1% | 7.2% | 0.83 |
| NBFC | 7.0% | 12.5% | 1.49 |
| Info Tech | 6.5% | 11.4% | 1.43 |
| HealthCare | 6.2% | 5.8% | 0.83 |
| Building Materials | 5.2% | 6.6% | 1.04 |
| Industrials | 4.8% | 5.1% | 0.98 |
| Automobile | 4.5% | 5.9% | 1.12 |
| Telecom | 4.0% | 2.6% | 0.63 |
| Misc | 2.7% | 4.6% | 1.39 |
| Retail | 2.5% | 2.1% | 0.70 |
| Materials | 2.2% | 0.1% | 0.05 |
| Media | 1.5% | 1.9% | 1.05 |
| Chemicals | 1.5% | 1.6% | 0.95 |
Beta scenarios
If the index moves
| Scenario | Book (β × move) |
|---|---|
| Nifty 500 -20% | −19.53% |
| Nifty 500 -10% | −9.76% |
| Nifty 500 -5% | −4.88% |
| Nifty 500 +5% | +4.88% |
| Nifty 500 +10% | +9.76% |
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 | .50 | .41 | .27 | .41 | .48 | .24 | .22 | .26 | .31 | .45 | .39 | .16 | .20 | .40 | .35 | |
| Axis Bank | .50 | .48 | .19 | .45 | .55 | .21 | .26 | .24 | .35 | .44 | .42 | .18 | .22 | .44 | .37 | |
| State Bank of India | .41 | .48 | .19 | .37 | .51 | .15 | .26 | .26 | .33 | .43 | .45 | .23 | .27 | .49 | .39 | |
| Bharti Airtel | .27 | .19 | .19 | .27 | .24 | .18 | .20 | .14 | .13 | .27 | .21 | .12 | .13 | .24 | .15 | |
| Bajaj Finance | .41 | .45 | .37 | .27 | .55 | .18 | .27 | .26 | .34 | .43 | .41 | .20 | .21 | .36 | .35 | |
| Shriram Finance | .48 | .55 | .51 | .24 | .55 | .20 | .31 | .34 | .39 | .51 | .53 | .31 | .28 | .50 | .46 | |
| Hindustan Unilever | .24 | .21 | .15 | .18 | .18 | .20 | .07 | .15 | .11 | .29 | .22 | .14 | .18 | .20 | .14 | |
| Trent | .22 | .26 | .26 | .20 | .27 | .31 | .07 | .20 | .20 | .30 | .36 | .13 | .30 | .24 | .25 | |
| ICICI Lombard General Insu | .26 | .24 | .26 | .14 | .26 | .34 | .15 | .20 | .31 | .30 | .31 | .18 | .22 | .32 | .26 | |
| Max Financial Services | .31 | .35 | .33 | .13 | .34 | .39 | .11 | .20 | .31 | .38 | .32 | .19 | .19 | .38 | .31 | |
| UltraTech Cement | .45 | .44 | .43 | .27 | .43 | .51 | .29 | .30 | .30 | .38 | .49 | .30 | .34 | .50 | .60 | |
| InterGlobe Aviation | .39 | .42 | .45 | .21 | .41 | .53 | .22 | .36 | .31 | .32 | .49 | .22 | .40 | .43 | .40 | |
| Glenmark Pharmaceuticals | .16 | .18 | .23 | .12 | .20 | .31 | .14 | .13 | .18 | .19 | .30 | .22 | .20 | .29 | .25 | |
| Kaynes Technology India | .20 | .22 | .27 | .13 | .21 | .28 | .18 | .30 | .22 | .19 | .34 | .40 | .20 | .34 | .28 | |
| Larsen & Toubro | .40 | .44 | .49 | .24 | .36 | .50 | .20 | .24 | .32 | .38 | .50 | .43 | .29 | .34 | .41 | |
| Dalmia Bharat | .35 | .37 | .39 | .15 | .35 | .46 | .14 | .25 | .26 | .31 | .60 | .40 | .25 | .28 | .41 |
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% |
| 7 Apr 2025 | −3.47% | −3.36% |
| 19 Mar 2026 | −3.24% | −3.16% |
| 30 Mar 2026 | −2.79% | −2.34% |
| 13 Jan 2025 | −2.33% | −2.55% |
Best
| Date | Book | Nifty 500 |
|---|---|---|
| 8 Apr 2026 | +4.33% | +3.95% |
| 12 May 2025 | +3.60% | +3.86% |
| 19 Mar 2025 | +3.38% | +1.00% |
| 25 Mar 2026 | +2.72% | +1.95% |
| 15 Apr 2025 | +2.70% | +2.54% |
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.