# AurelQuant Canonical page: https://aurelquant.com/es/playbooks/risk-intelligence/ AQ03 / GUÍA DE INVESTIGACIÓN Análisis de riesgos Revise caídas, volatilidad y pérdidas extremas históricas de una muestra de empresas con pesos iguales. Todas las guías completadas Probar este análisis como demo ANÁLISIS GUARDADO AQ03 Explorar las entradas de la demo Esta ejecución no está disponible. Volver a la demo Leer la guía guardada AURELQUANT AQ03 Análisis de riesgos Four-company equal-weight study Fecha de ejecución 2026-10-20 Última observación 2026-10-19 01 Resumen 02 Indicadores 03 Fuentes y método Análisis de riesgos Cálculo guardado 01 / RESUMEN Understand the downside. 2025-09-15 to 2026-10-19 · Four-company equal-weight study Caída observada de la muestra % Observed sample drawdown 1.62 -8.12 -17.86 Caída desde el máximo 2025-09-15 a 2026-10-19 The equal-weight sample's annualized historical volatility is 16.11%. Historical tail statistics use 275 actual daily returns and are estimates of this observed sample, not limits on future losses. 02 / INDICADORES Examine el resultado. VaR histórico de una sesión 1.68 % loss Pérdida media histórica más allá del VaR 2.18 % loss Volatilidad anualizada de la muestra 16.11% Caída máxima observada -16.23% Indicadores calculados Indicador Resultado Definición / estado VaR histórico de una sesión 1.68 % loss 95% empirical confidence; loss-positive Pérdida media histórica más allá del VaR 2.18 % loss Mean loss beyond 95% empirical VaR Volatilidad anualizada de la muestra 16.11% Sample standard deviation × sqrt(252) Caída máxima observada -16.23% Includes the initial wealth baseline The equal-weight sample's annualized historical volatility is 16.11%. Historical tail statistics use 275 actual daily returns and are estimates of this observed sample, not limits on future losses. 14-session relative strength index index 14-session relative strength index 86.24 48.99 11.73 14-session relative strength index 2025-09-15 a 2026-10-19 calculates this technical study from completed adjusted OHLCV sessions. Warm-up values remain unavailable; the indicator is descriptive, not a validated forecast. 14-session moving average USD 14-session moving average 346.85 293.29 239.73 14-session moving average 2025-09-15 a 2026-10-19 calculates this technical study from completed adjusted OHLCV sessions. Warm-up values remain unavailable; the indicator is descriptive, not a validated forecast. Ichimoku observed price study USD Ichimoku observed price study 348.84 292.35 235.86 Conversion line Base line Leading span A Leading span B 2025-09-15 a 2026-10-19 computes conversion/base high-low midpoints and the shifted technical cloud from observed adjusted OHLC prices. The leading spans are a technical display shift, not a calibrated price forecast; warm-up remains null. Daily return correlation matrix symbol AAPL MSFT JPM BAC AAPL 1.0000 0.1245 0.1729 0.2307 MSFT 0.1245 1.0000 0.0732 0.1222 JPM 0.1729 0.0732 1.0000 0.7216 BAC 0.2307 0.1222 0.7216 1.0000 Pearson associations use common observed sessions. Correlation does not establish causation; the four-company selection is not the full market. Company performance and exposure symbol sample_return starting_weight beta AAPL 45.4190 25.0000 0.6609 MSFT 4.3755 25.0000 0.9879 JPM 10.5881 25.0000 0.7459 BAC 1.7278 25.0000 0.7453 Weights are explicitly fixed at 25% for the daily-rebalanced demonstration. Returns exclude costs and taxes. Observed risk and performance measurements metric symbol value unit status Annualized volatility AAPL 24.3111 % calculated Annualized volatility MSFT 31.7268 % calculated Annualized volatility JPM 21.7851 % calculated Annualized volatility BAC 22.1222 % calculated Annualized volatility SPY 12.6490 % calculated Historical VaR (signed return) AAPL -1.9766 % calculated Historical VaR (signed return) MSFT -2.7104 % calculated Historical VaR (signed return) JPM -2.3404 % calculated Historical VaR (signed return) BAC -2.5145 % calculated Historical VaR (signed return) SPY -1.3361 % calculated Expected shortfall (signed return) AAPL -3.4726 % calculated Expected shortfall (signed return) MSFT -3.9555 % calculated Expected shortfall (signed return) JPM -3.1945 % calculated Expected shortfall (signed return) BAC -3.4181 % calculated Expected shortfall (signed return) SPY -1.7467 % calculated Maximum drawdown AAPL -13.7985 % calculated Maximum drawdown MSFT -34.4984 % calculated Maximum drawdown JPM -15.4717 % calculated Maximum drawdown BAC -21.8530 % calculated Maximum drawdown SPY -8.8850 % calculated Skewness AAPL -0.4186 dimensionless calculated Skewness MSFT 1.3288 dimensionless calculated Skewness JPM -0.3367 dimensionless calculated Skewness BAC -0.5994 dimensionless calculated Skewness SPY -0.1468 dimensionless calculated Kurtosis AAPL 3.3247 dimensionless calculated Kurtosis MSFT 14.5485 dimensionless calculated Kurtosis JPM 0.9701 dimensionless calculated Kurtosis BAC 1.3339 dimensionless calculated Kurtosis SPY 1.1319 dimensionless calculated Ulcer AAPL 6.1012 % calculated Ulcer MSFT 18.6815 % calculated Ulcer JPM 6.6463 % calculated Ulcer BAC 8.0508 % calculated Ulcer SPY 2.0707 % calculated Period Return AAPL 45.4190 % calculated Period Return MSFT 4.3755 % calculated Period Return JPM 10.5881 % calculated Period Return BAC 1.7278 % calculated Period Return SPY 17.5496 % calculated Beta AAPL 0.6609 dimensionless calculated Beta MSFT 0.9879 dimensionless calculated Beta JPM 0.7459 dimensionless calculated Beta BAC 0.7453 dimensionless calculated Daily tracking error AAPL 1.4632 % calculated Daily tracking error MSFT 1.8371 % calculated Daily tracking error JPM 1.2534 % calculated Daily tracking error BAC 1.2769 % calculated Daily information ratio AAPL 0.0588 ratio calculated Daily information ratio MSFT -0.0146 ratio calculated Daily information ratio JPM -0.0127 ratio calculated Daily information ratio BAC -0.0360 ratio calculated calculates daily-return risk and performance from the same completed source sessions. Volatility uses 252 sessions per year. VaR/expected-shortfall rows retain the library's signed-return convention; main risk cards show loss-positive values. Tracking error and information ratio retain daily units. Complete FinanceToolkit technical indicator collection indicator symbol value status date McClellan Oscillator AAPL 0.0186 calculated 2026-10-19 Advancers - Decliners AAPL -1.0000 calculated 2026-10-19 On-Balance Volume AAPL 1,468,454,500.0000 calculated 2026-10-19 Accumulation/Distribution Line AAPL 756,099,016.3751 calculated 2026-10-19 Chaikin Oscillator AAPL -27,972,954.6813 calculated 2026-10-19 TRIN AAPL - unavailable 2026-10-19 New Highs - New Lows AAPL 0.0000 calculated 2026-10-19 Chaikin Money Flow AAPL -0.1622 calculated 2026-10-19 Ease of Movement AAPL 11.3362 calculated 2026-10-19 Negative Volume Index AAPL 1,150.0957 calculated 2026-10-19 Positive Volume Index AAPL 1,264.4081 calculated 2026-10-19 Money Flow Index AAPL 67.0511 calculated 2026-10-19 Williams %R AAPL -23.3214 calculated 2026-10-19 Aroon Indicator Up AAPL 71.4286 calculated 2026-10-19 Aroon Indicator Down AAPL 14.2857 calculated 2026-10-19 Commodity Channel Index AAPL 73.8004 calculated 2026-10-19 Relative Vigor Index AAPL 0.5800 calculated 2026-10-19 Force Index AAPL 24,445,330.7409 calculated 2026-10-19 Ultimate Oscillator AAPL 43.0215 calculated 2026-10-19 Percentage Price Oscillator AAPL 1.8917 calculated 2026-10-19 Detrended Price Oscillator AAPL -1.2500 calculated 2026-10-19 Average Directional Index AAPL 18.0352 calculated 2026-10-19 Chande Momentum Oscillator AAPL 43.5932 calculated 2026-10-19 Ichimoku Conversion Line AAPL 339.4250 calculated 2026-10-19 Ichimoku Base Line AAPL 336.9800 calculated 2026-10-19 Ichimoku Leading Span A AAPL 320.7275 calculated 2026-10-19 Ichimoku Leading Span B AAPL 312.3656 calculated 2026-10-19 Stochastic %K AAPL 76.6786 calculated 2026-10-19 Stochastic %D AAPL 76.0519 calculated 2026-10-19 MACD Line AAPL 4.1295 calculated 2026-10-19 MACD Signal Line AAPL 3.9818 calculated 2026-10-19 Relative Strength Index AAPL 61.1953 calculated 2026-10-19 Balance of Power AAPL 0.3673 calculated 2026-10-19 Awesome Oscillator AAPL 10.4044 calculated 2026-10-19 Vortex Indicator VI+ AAPL 1.0738 calculated 2026-10-19 Vortex Indicator VI- AAPL 0.8475 calculated 2026-10-19 Elder Ray Bull Power AAPL 6.5177 calculated 2026-10-19 Elder Ray Bear Power AAPL 0.6377 calculated 2026-10-19 Rate of Change AAPL 4.1105 calculated 2026-10-19 Choppiness Index AAPL 52.7329 calculated 2026-10-19 Know Sure Thing AAPL 40.2643 calculated 2026-10-19 Know Sure Thing Signal Line AAPL 46.0773 calculated 2026-10-19 Simple Moving Average (SMA) AAPL 337.9200 calculated 2026-10-19 Exponential Moving Average (EMA) AAPL 339.1811 calculated 2026-10-19 Double Exponential Moving Average (DEMA) AAPL 343.0823 calculated 2026-10-19 TRIX AAPL 0.1741 calculated 2026-10-19 Triangular Moving Average AAPL 338.1027 calculated 2026-10-19 Weighted Moving Average (WMA) AAPL 340.1395 calculated 2026-10-19 Hull Moving Average (HMA) AAPL 344.3593 calculated 2026-10-19 Kaufman Adaptive Moving Average (KAMA) AAPL 333.3192 calculated 2026-10-19 Volume Weighted Average Price (VWAP) AAPL 338.4303 calculated 2026-10-19 Parabolic SAR AAPL 331.7011 calculated 2026-10-19 Pivot Point AAPL 343.9133 calculated 2026-10-19 Pivot Point Resistance 1 AAPL 347.3667 calculated 2026-10-19 Pivot Point Support 1 AAPL 340.0067 calculated 2026-10-19 Fibonacci Retracement 50.0% AAPL 336.9800 calculated 2026-10-19 Fibonacci Retracement 61.8% AAPL 334.3439 calculated 2026-10-19 Bollinger Band Upper AAPL 346.7240 calculated 2026-10-19 Bollinger Band Middle AAPL 337.9200 calculated 2026-10-19 Bollinger Band Lower AAPL 329.1161 calculated 2026-10-19 True Range AAPL 5.8800 calculated 2026-10-19 Average True Range AAPL 6.6393 calculated 2026-10-19 Supertrend AAPL 325.1297 calculated 2026-10-19 Supertrend Trend Direction AAPL 1.0000 calculated 2026-10-19 Keltner Channel Upper AAPL 352.4596 calculated 2026-10-19 Keltner Channel Middle AAPL 339.1811 calculated 2026-10-19 Keltner Channel Lower AAPL 325.9025 calculated 2026-10-19 Donchian Channel Upper AAPL 348.1500 calculated 2026-10-19 Donchian Channel Middle AAPL 336.9800 calculated 2026-10-19 Donchian Channel Lower AAPL 325.8100 calculated 2026-10-19 The actual technicals controller collects all supported breadth, momentum, overlap and volatility indicators from observed adjusted OHLCV. Each latest value has its own calculated/unavailable state. Session volume is provider volume, not a fabricated order book. Source and calculation coverage module status reason ratios/models unavailable Financial statement ratios and DuPont require matching annual statement evidence; choose AQ06 for those calculations. fixedincome unavailable No specific bond, coupon schedule or swaption market observations were supplied by this stock-market demonstration. Bond and swaption outputs are not invented. economics unavailable No dated macro release/vintage dataset was selected. Market price returns are not substituted for economic releases. portfolio/causal econometrics unavailable Portfolio optimization and causal research require explicit constraints, instruments and validation; this bounded demonstration does not imply those workflows ran. Unavailable measurements retain their specific missing evidence. A method being present in the library does not mean the required market inputs exist. Measures that need additional evidence (4) ratios/models: Financial statement ratios and DuPont require matching annual statement evidence; choose AQ06 for those calculations. fixedincome: No specific bond, coupon schedule or swaption market observations were supplied by this stock-market demonstration. Bond and swaption outputs are not invented. economics: No dated macro release/vintage dataset was selected. Market price returns are not substituted for economic releases. portfolio/causal econometrics: Portfolio optimization and causal research require explicit constraints, instruments and validation; this bounded demonstration does not imply those workflows ran. 03 / FUENTES Y MÉTODO Siga el razonamiento. Método de cálculo Public yfinance observations are requested through tomorrow because Yahoo's end date is exclusive. Only verified completed XNYS sessions at selection time enter daily studies; incomplete current-day bars are excluded. The selection date is fixed once in Africa/Tunis. The observed source cutoff is displayed separately. methods receive observed input. Missing values are not filled or replaced with defaults. Adjusted-close returns are descriptive provider-adjusted returns, not a point-in-time data-vintage backtest. The four-company sample holds 25% per company and rebalances daily. SPY is an observed ETF comparison, not a complete global-market benchmark. Evidencias de las fuentes AAPL 2026-10-19 MSFT 2026-10-19 JPM 2026-10-19 BAC 2026-10-19 SPY 2026-10-19 Alcance y revisión This is a bounded public-data research demonstration; no transaction execution, accounts or customer records are used. Sources may be delayed or revised. Current observations and provider licensing must be reviewed before commercial redistribution. Narratives are generated deterministically from calculated evidence. No language model is claimed to have authored this run. La fecha de ejecución permanece fija para esta selección. Las observaciones de mercado y los periodos de información financiera pueden precederla. Las estimaciones son cálculos de investigación, no precios futuros observados. Capítulo anterior 01 / 03 Capítulo siguiente Explore este análisis para su equipo. Hable de precios para sus empresas, mercados y necesidades de revisión. Solicitar presupuesto .demo-book .book-page{height:auto;min-height:0;overflow:visible}.book-page[hidden]{display:block!important}.book-chapters,.book-page-controls{display:none!important}