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 · 125 sessions · 30 Mar 2026 → 29 Sept 2026
Volatility, ann.
15.3%
Nifty 500 13.7%
Beta to Nifty 500
1.07
correlation 0.95
Tracking error
4.7%
ann. stdev of daily active return
Max drawdown
-6.6%
peak to trough in window
Diversification ratio
1.86
Σ wᵢσᵢ ÷ σ portfolio
Window return
6.6%
Nifty 500 5.1%
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% | 8.3% | 25.3% | 1.14 | 0.72 | -14.3% | +0.57% |
| Shriram Finance | NBFC | 3.5% | 7.9% | 35.1% | 2.04 | 0.84 | -15.2% | +7.49% |
| ICICI Bank | Banking | 7.0% | 7.2% | 19.8% | 0.89 | 0.69 | -11.7% | +4.73% |
| Bajaj Finance | NBFC | 3.5% | 6.2% | 31.5% | 1.68 | 0.74 | -16.0% | +15.41% |
| InterGlobe Aviation | Misc | 2.7% | 5.7% | 35.0% | 1.97 | 0.80 | -13.1% | +18.84% |
| State Bank of India | Banking | 4.0% | 4.9% | 23.8% | 1.10 | 0.68 | -15.5% | −5.38% |
| Trent | FMCG | 3.1% | 4.8% | 34.8% | 1.33 | 0.59 | -21.5% | +16.26% |
| Max Financial Services | Insurance | 2.9% | 4.7% | 33.1% | 1.50 | 0.65 | -19.4% | −10.58% |
| Kaynes Technology India | Info Tech | 2.4% | 4.1% | 54.3% | 1.39 | 0.42 | -33.4% | −2.80% |
| One 97 Communications | Info Tech | 2.2% | 4.0% | 42.5% | 1.63 | 0.57 | -14.6% | +66.83% |
| Dalmia Bharat | Building Materials | 2.4% | 3.7% | 29.4% | 1.33 | 0.69 | -19.2% | −11.84% |
| UltraTech Cement | Building Materials | 2.8% | 3.6% | 21.8% | 1.20 | 0.79 | -12.3% | −1.99% |
| IDFC First Bank | Banking | 2.3% | 3.5% | 27.8% | 1.58 | 0.73 | -9.6% | +28.43% |
| Larsen & Toubro | Industrials | 2.4% | 3.2% | 23.0% | 1.31 | 0.76 | -11.1% | +5.19% |
| Ramkrishna Forgings | Automobile | 2.1% | 3.0% | 36.4% | 1.32 | 0.51 | -14.2% | +46.46% |
| Hindustan Unilever | FMCG | 3.3% | 2.6% | 23.7% | 0.77 | 0.44 | -21.3% | −10.15% |
| ICICI Lombard General Insurance | Insurance | 3.1% | 2.3% | 28.5% | 0.69 | 0.35 | -24.5% | −13.28% |
| HDFC Bank | Banking | 1.8% | 2.1% | 23.9% | 1.17 | 0.66 | -17.2% | −4.43% |
| Bharti Airtel | Telecom | 4.0% | 2.1% | 22.7% | 0.63 | 0.31 | -11.1% | −3.94% |
| Glenmark Pharmaceuticals | HealthCare | 2.4% | 1.6% | 27.1% | 0.73 | 0.33 | -11.6% | +12.49% |
| Britannia Industries | FMCG | 2.0% | 1.5% | 19.5% | 0.68 | 0.50 | -17.2% | −12.09% |
| PVR Inox | Media | 1.5% | 1.3% | 31.5% | 0.80 | 0.35 | -13.6% | +26.88% |
| Indegene | Info Tech | 1.2% | 1.2% | 28.7% | 0.91 | 0.46 | -10.3% | +33.85% |
| Campus Activewear | Retail | 1.2% | 1.1% | 26.2% | 0.90 | 0.46 | -17.5% | −6.25% |
| SBI Life Insurance Company | Insurance | 1.1% | 1.0% | 23.0% | 0.93 | 0.54 | -16.6% | −5.58% |
| Varun Beverages | FMCG | 1.0% | 1.0% | 29.9% | 1.06 | 0.44 | -26.4% | +10.45% |
| Varroc Engineering | Automobile | 0.8% | 1.0% | 37.2% | 1.21 | 0.44 | -6.7% | +71.74% |
| Bajaj Auto | Automobile | 1.6% | 0.9% | 24.0% | 0.64 | 0.32 | -12.5% | +21.46% |
| Chambal Fertilisers | Chemicals | 0.9% | 0.7% | 25.3% | 0.78 | 0.43 | -16.5% | −1.52% |
| Dilip Buildcon | Industrials | 0.6% | 0.6% | 32.8% | 0.96 | 0.42 | -20.6% | +6.41% |
| Astral | Industrials | 1.0% | 0.6% | 30.4% | 0.54 | 0.25 | -19.2% | −15.08% |
| Avenue Supermarts | Retail | 1.3% | 0.6% | 26.4% | 0.43 | 0.22 | -20.5% | −3.92% |
| Aurobindo Pharma | HealthCare | 1.6% | 0.6% | 25.3% | 0.28 | 0.19 | -9.7% | +29.18% |
| Vedanta Aluminium Metal | Materials | 2.2% | 0.5% | 26.4% | 0.21 | 0.12 | -18.5% | −12.39% |
| Archean Chemical Industries | Chemicals | 0.6% | 0.5% | 32.2% | 0.70 | 0.35 | -27.2% | −19.36% |
| Granules India | HealthCare | 0.7% | 0.4% | 28.0% | 0.61 | 0.27 | -8.7% | +38.82% |
| Medplus Health Services | HealthCare | 0.8% | 0.4% | 31.9% | 0.36 | 0.19 | -31.9% | −20.99% |
| Infosys | Info Tech | 0.7% | 0.3% | 33.8% | 0.62 | 0.16 | -26.8% | −20.03% |
| Indo-MIM | Industrials | 0.8% | 0.1% | 36.1% | 0.00 | 0.02 | -11.3% | +68.27% |
| Dr Reddy's Laboratories | HealthCare | 0.7% | 0.1% | 25.7% | 0.05 | 0.04 | -17.5% | −2.33% |
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% | 26.1% | 1.10 |
| FMCG | 9.4% | 9.9% | 0.96 |
| Insurance | 7.1% | 8.1% | 1.06 |
| NBFC | 7.0% | 14.0% | 1.86 |
| Info Tech | 6.5% | 9.7% | 1.30 |
| HealthCare | 6.2% | 3.0% | 0.48 |
| Building Materials | 5.2% | 7.3% | 1.26 |
| Industrials | 4.8% | 4.4% | 0.89 |
| Automobile | 4.5% | 4.9% | 1.06 |
| Telecom | 4.0% | 2.1% | 0.63 |
| Misc | 2.7% | 5.7% | 1.97 |
| Retail | 2.5% | 1.7% | 0.66 |
| Materials | 2.2% | 0.5% | 0.21 |
| Media | 1.5% | 1.3% | 0.80 |
| Chemicals | 1.5% | 1.3% | 0.75 |
Beta scenarios
If the index moves
| Scenario | Book (β × move) |
|---|---|
| Nifty 500 -20% | −21.34% |
| Nifty 500 -10% | −10.67% |
| Nifty 500 -5% | −5.34% |
| Nifty 500 +5% | +5.34% |
| Nifty 500 +10% | +10.67% |
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 | .63 | .50 | .13 | .51 | .61 | .31 | .36 | .22 | .38 | .53 | .53 | .13 | .18 | .49 | .45 | |
| Axis Bank | .63 | .51 | .03 | .55 | .65 | .30 | .33 | .10 | .58 | .52 | .57 | .06 | .20 | .55 | .50 | |
| State Bank of India | .50 | .51 | .16 | .41 | .54 | .22 | .41 | .17 | .41 | .47 | .60 | .13 | .17 | .45 | .58 | |
| Bharti Airtel | .13 | .03 | .16 | .35 | .18 | .15 | .15 | .02 | .16 | .26 | .17 | .33 | -.03 | .23 | .13 | |
| Bajaj Finance | .51 | .55 | .41 | .35 | .72 | .28 | .40 | .09 | .50 | .60 | .54 | .24 | .23 | .57 | .49 | |
| Shriram Finance | .61 | .65 | .54 | .18 | .72 | .29 | .47 | .27 | .54 | .69 | .74 | .17 | .26 | .71 | .61 | |
| Hindustan Unilever | .31 | .30 | .22 | .15 | .28 | .29 | .16 | .12 | .18 | .34 | .21 | .14 | .30 | .31 | .20 | |
| Trent | .36 | .33 | .41 | .15 | .40 | .47 | .16 | .17 | .28 | .40 | .47 | .05 | .30 | .42 | .41 | |
| ICICI Lombard General Insu | .22 | .10 | .17 | .02 | .09 | .27 | .12 | .17 | .31 | .36 | .22 | .17 | .10 | .22 | .20 | |
| Max Financial Services | .38 | .58 | .41 | .16 | .50 | .54 | .18 | .28 | .31 | .53 | .42 | .16 | .15 | .47 | .42 | |
| UltraTech Cement | .53 | .52 | .47 | .26 | .60 | .69 | .34 | .40 | .36 | .53 | .62 | .26 | .39 | .62 | .68 | |
| InterGlobe Aviation | .53 | .57 | .60 | .17 | .54 | .74 | .21 | .47 | .22 | .42 | .62 | .15 | .33 | .59 | .54 | |
| Glenmark Pharmaceuticals | .13 | .06 | .13 | .33 | .24 | .17 | .14 | .05 | .17 | .16 | .26 | .15 | .03 | .31 | .12 | |
| Kaynes Technology India | .18 | .20 | .17 | -.03 | .23 | .26 | .30 | .30 | .10 | .15 | .39 | .33 | .03 | .25 | .29 | |
| Larsen & Toubro | .49 | .55 | .45 | .23 | .57 | .71 | .31 | .42 | .22 | .47 | .62 | .59 | .31 | .25 | .50 | |
| Dalmia Bharat | .45 | .50 | .58 | .13 | .49 | .61 | .20 | .41 | .20 | .42 | .68 | .54 | .12 | .29 | .50 |
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 |
|---|---|---|
| 30 Mar 2026 | −2.79% | −2.34% |
| 12 May 2026 | −2.21% | −2.18% |
| 15 Sept 2026 | −2.12% | −1.70% |
| 8 Jul 2026 | −2.09% | −1.97% |
| 24 Sept 2026 | −1.73% | −1.67% |
Best
| Date | Book | Nifty 500 |
|---|---|---|
| 8 Apr 2026 | +4.33% | +3.95% |
| 12 Jun 2026 | +2.33% | +2.19% |
| 6 Apr 2026 | +2.09% | +1.22% |
| 1 Apr 2026 | +2.08% | +1.98% |
| 3 Aug 2026 | +2.01% | +1.46% |
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.