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Indicators

Use this reference guide to understand the risk and technical indicators available in Portfolio Terminal.

Annualized volatility

Volatility measures how widely portfolio returns move around their average over time.

Higher volatility means larger price swings. It does not say whether the portfolio is good or bad on its own, but it helps frame how unstable the return path can be.

sigmaAnnual = sigmaDaily * sqrt(252)
  • Below 15% usually signals a relatively stable portfolio.
  • Between 15% and 30% is common for diversified equity exposure.
  • Above 30% often points to concentrated or highly speculative exposure.

Max drawdown

Max drawdown measures the worst peak-to-trough loss over the observed period.

This metric is useful because it describes the deepest historical decline an investor would have had to tolerate while staying invested.

maxDrawdown = (troughValue - peakValue) / peakValue

Interpretation

Drawdown is often easier to reason about than volatility because it expresses the magnitude of actual capital loss during a bad period.
Open the drawdown monitoring page

Value at Risk (VaR)

Historical VaR estimates the loss threshold that should not be exceeded on most trading days at the selected confidence level.

VaR is useful as a portfolio-level risk summary, but it should be interpreted alongside drawdown, volatility, and position concentration rather than in isolation.

  • Use it to estimate normal downside, not extreme tail events.
  • Review the time horizon and confidence level before comparing portfolios.
  • Combine it with scenario thinking when exposure is concentrated.
Open the portfolio Value at Risk page

Moving averages

Moving averages smooth price action so you can identify direction without reacting to every short-term fluctuation.

SMA

The simple moving average works well for slower trend context and long-term comparisons.

EMA

The exponential moving average reacts faster to recent price changes and is often used for shorter-term signals.

Relative Strength Index (RSI)

RSI measures momentum on a 0 to 100 scale and helps identify stretched conditions.

  • Readings above 70 often indicate overbought conditions.
  • Readings below 30 often indicate oversold conditions.
  • Momentum signals are more useful when combined with trend context.

MACD

MACD compares fast and slow moving averages to show momentum shifts and signal crossovers.

  • The MACD line measures the spread between two moving averages.
  • The signal line smooths that spread to highlight direction changes.
  • The histogram shows how far the two lines are from each other.

Use with context

MACD is more useful when you already know the market regime and are not relying on a single crossover in isolation.

Correlation

Correlation helps you judge whether positions really diversify each other or simply move together under stress.

If you want a deeper explanation of coefficients and diversification logic, use the dedicated correlation page.

Open the correlation guide