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Sigma Risk Analytics
AI Portfolio Stress Testing Platform
Machine-learning driven scenario analysis, factor decomposition and market regime detection for multi-asset portfolio risk management.
How to Stress Test Your Portfolio — 3 Steps
1
Use the weight sliders to set your asset allocation across S&P 500, Nasdaq, Gold, and Bitcoin. Click Analyse Portfolio to see live Sharpe, VaR, and risk contributions.
2
Select from 20 historical crises (GFC 2008, COVID crash, 2022 inflation spike, etc.) and apply them to your weights. See exactly which assets drive losses and by how much.
3
Review all 20 scenario outcomes, historical drawdowns, SHAP-based factor exposures, and plain-English AI narratives that explain what macro forces drive your portfolio's risk.
Portfolio Value
$1,000,000
Notional reference
Expected Return (Ann.)
+95.84%
Ensemble model forecast
Sharpe Ratio
4.42
Risk-adjusted return
VaR 95% (Monthly)
-12.07%
Historical simulation
My Portfolio
Custom
Saved 2026-03-27
Edit →
spx
35%
ndx
30%
gold
25%
btc
10%
Exp. Return (Ann.)
+26.1%
Sharpe Ratio
1.94
Volatility (Ann.)
11.6%
VaR 95% (Monthly)
-5.5%
CVaR 95%
-26.7%
Div. Ratio
1.60
Portfolio Allocation
Regime-Adjusted
SPX
0.0%
NDX
0.0%
GOLD
53.5%
BTC
46.5%
Market Regime
HMM Classification
Credit Stress
Confidence
100%
Recent Regime History
| Regime | Count | % Time |
|---|---|---|
| Inflation Stress | 103 | 37.1% |
| Calm | 77 | 27.7% |
| Credit Stress | 56 | 20.1% |
| Crisis | 42 | 15.1% |
Stress Scenario Returns
20 Scenarios
Top Factor Exposures
Portfolio SHAP
Factor data unavailable. Run pipeline phases first.
Historical Drawdown
Full History
Asset Summary
Ensemble Forecasts
| Asset | Exp. Return (Ann.) | Volatility (Ann.) | Base Weight | Regime Weight | Models |
|---|---|---|---|---|---|
| SPX S&P 500 | -4.12% | 14.07% | 0.0% | 0.0% | ElasticNet XGBoost |
| NDX Nasdaq 100 | +16.34% | 16.03% | 0.9% | 0.0% | ElasticNet XGBoost |
| GOLD Gold | +15.12% | 19.00% | 39.1% | 53.5% | ElasticNet XGBoost |
| BTC Bitcoin | +188.77% | 41.09% | 60.0% | 46.5% | ElasticNet XGBoost |
Live Data Feeds
Auto-Updated
S&P 500
^GSPC
7,397.43
+0.11%
Nasdaq 100
^NDX
29,227.80
+0.28%
Gold
GC=F
4,675.10
-0.25%
Bitcoin
BTC-USD
$80,710
-0.01%
VIX
^VIX
18.21
+6.00%
Major FX
EUR/USD
EURUSD=X
1.1774
+0.02%
GBP/USD
GBPUSD=X
1.3599
+0.00%
DXY
DX-Y.NYB
98.00
-0.01%
USD Crosses
USD/JPY
JPY=X
157.12
+0.08%
USD/CHF
CHF=X
0.7782
+0.06%
AUD/USD
AUDUSD=X
0.7242
-0.04%
USD/CAD
CAD=X
1.3671
-0.04%
NZD/USD
NZDUSD=X
0.5948
-0.06%
USD/CNY
CNY=X
6.80
+0.01%
USD/SEK
SEK=X
9.23
-0.01%
USD/NOK
NOK=X
9.19
+0.02%
BDT Rates
USD/BDT
BDT=X
122.57
+0.00%
GBP/BDT
GBPBDT=X
167.08
+0.01%
EUR/BDT
EURBDT=X
144.59
+0.01%
Gold/BDT
GC=F × BDT=X
573,022
-0.25%
📅
Daily
● Live
SPX, NDX, Gold, BTC, VIX, US Yields, DXY, EUR/USD, GBP/USD, QQQ
Last: 2026-05-10 22:00 UTC
📊
Monthly
● Live
CPI, Fed Funds, HY Spread, TIPS 10Y, Breakeven 10Y, ECB Rate, US 2Y/10Y Yield
Last: 2026-05-10 18:02 UTC