Comparison of Investment Risk Metrics

What are Investment Risk Metrics?

Investment Risk Metrics are quantitative measures used by investors and financial professionals to assess the level of risk associated with an investment or portfolio.

Maximum Drawdown vs. Downside Deviation

	Maximum Drawdown	Downside Deviation
Description	Measures the largest peak-to-trough decline	Measures the volatility of negative returns
Interpretation	Indicates potential loss in a downturn	Focuses on downside risk
Risk Level	High	Medium
Historical Performance	-0.2	0.1
Benchmark Comparison	Historical Average	None