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. Standard Deviation

	Maximum Drawdown	Standard Deviation
Description	Measures the largest peak-to-trough decline	Measures the dispersion of returns from the mean
Interpretation	Indicates potential loss in a downturn	Higher values indicate higher volatility
Risk Level	High	High
Historical Performance	-0.2	0.15
Benchmark Comparison	Historical Average	S&P 500