| Token | Source | Sector | Amount | Price | Value | Weight | 7D | 30D |
|---|
| Scenario | Gross | Est. Slippage | Net Proceeds |
|---|---|---|---|
| Awaiting data… | |||
Portfolio: Institutional Digital Asset Portfolio · Analysis Date: 2026-03-11 · Analyst: Ledgerstone Portfolio & Risk Team
Your portfolio carries a MODERATE overall risk profile, as indicated by the Portfolio Stress Score of 40. This score is driven by elevated volatility and poor structural diversification, which are partially offset by strong liquidity and a favourable recent momentum trend. The primary characteristic of your allocation is a concentrated thematic bet on the Layer 1 and DeFi sectors, with significant sensitivity to broader market movements, particularly Bitcoin.
Your overall Portfolio Stress Score is 40, placing it in the MODERATE risk band. The component scores reveal the specific drivers of this assessment.
- Volatility (53/100 — Elevated): Your portfolio’s annualised volatility of 63.3% is the primary contributor to the elevated risk score. This indicates the value of your holdings has experienced, and can be expected to experience, significant swings.
- Diversification (72/100 — High): This is your portfolio’s most critical weakness. A score of 72 indicates that your portfolio volatility is 72% of the weighted-average volatility of its individual components. In practice, you are receiving only a 28% diversification benefit from holding 20 tokens — the assets are moving largely in tandem.
- Concentration (32/100 — Moderate): Your risk is not overly concentrated in a handful of positions. The top three risk contributors (HBAR, SOL, SUI) account for 32% of total portfolio volatility, which is a moderate level for a digital asset portfolio.
- Liquidity (3/100 — Low Risk): This is a significant strength. Your portfolio exhibits excellent liquidity, with the 90th percentile position requiring only 1 day to exit fully under our conservative 20% of Average Daily Volume rule.
- Momentum (39/100 — Moderate): Your portfolio has gained 6.8% over the last four weeks. This positive momentum score suggests recent performance has been favourable and is not currently a source of stress.
- Volatility Regime (0.73x — Neutral): The ratio of recent (4-week) to medium-term (26-week) volatility falls within the Neutral band. While absolute volatility is high, it is not currently in an accelerating Stress Regime — market movements are consistent with their recent historical pattern.
- Expected Shortfall (ES-95): 18.1% per week. Based on the last 52 weeks of synthetic data, the average loss in the worst 5% of weeks would be 18.1%, or approximately $663,901 at current portfolio value. Position sizing and risk tolerance should accommodate this potential.
- Max Synthetic Drawdown (52w): 62.9%. If your current allocation had been held static over the past year, it would have experienced a peak-to-trough decline of 62.9%. You are currently 59.3% below the synthetic high-water mark, placing you near the bottom of that historical drawdown range.
N-Effective: 12.3. Despite holding 20 tokens, your portfolio behaves like a concentrated portfolio of approximately 12 independent risk positions. This confirms you are not fully realising the diversification potential of your token count.
Your portfolio is a pronounced sector bet. Layer 1 tokens constitute 65.6% of your allocation by value and 65.4% of your risk. This extreme concentration means your portfolio’s performance is overwhelmingly tied to the fortunes of the broader Layer 1 ecosystem — you are not diversified across crypto market themes. DeFi is your second-largest sector exposure (24.9% by value, 27.5% by risk), which is often correlated with Layer 1 activity. Your 7.1% allocation to USDC provides a modest buffer but does not meaningfully offset sector concentration.
Average Pairwise Correlation: 0.72. This quantitatively confirms the diversification weakness. A reading above 0.70 indicates that, on average, your holdings move together strongly, providing limited risk reduction from holding multiple assets. Beta to Bitcoin: 1.61 — your portfolio has historically been 61% more volatile than Bitcoin, amplifying exposure to directional moves in the largest digital asset. Beta to Ethereum: 0.81, a lower and more moderate sensitivity.
Your liquidity profile is exceptionally strong. Every position in your portfolio can be fully liquidated within 1 day under our standard 20% ADV assumption. This mitigates a key operational risk in digital asset portfolios and means you face minimal market impact costs if you need to adjust your allocation.
- Sector Bet vs. Diversified Portfolio: Your portfolio is primarily a vehicle for expressing a view on the Layer 1 sector. Its performance will be largely determined by that sector’s fortunes relative to others such as Gaming, AI, or Infrastructure.
- High Volatility with Correlated Holdings: You are carrying high absolute volatility (63.3%) and the diversification benefit across your holdings is limited. This combination means your portfolio is likely to experience large swings in value closely tied to general crypto market sentiment.
- Significant Tail Risk is Present: The Expected Shortfall of 18.1% per week is a concrete measure of severe but plausible weekly losses. Your position sizing and risk tolerance should accommodate this potential.
- Liquidity is a Strategic Advantage: Your ability to exit positions rapidly is a material strength. It provides optionality that many institutional digital asset portfolios lack.
This analysis reflects the risk state of the sample portfolio based on historical data and current weights. The metrics provide a framework for understanding the sources of risk and return in the allocation. This is a demonstration of the AI-generated commentary feature available on the live Risk Terminal.