Stress Test Metrics
Metrics from portfolio stress testing scenarios.
Summary Stress Metrics
Base Return
| Property | Value |
|---|---|
| Field | stress.summary.base_return |
| Formula | planner.summary.expected_portfolio_return_pct |
| Unit | Ratio |
| Format | X.XX% |
| Description | Expected return under normal conditions |
Worst Case Return Pct
| Property | Value |
|---|---|
| Field | stress.summary.worst_case_return_pct |
| Formula | min(stressed scenario expected_portfolio_return_pct) |
| Unit | Ratio |
| Format | X.XX% |
| Description | Minimum return across all stress scenarios |
Worst Case Retention Pct
| Property | Value |
|---|---|
| Field | stress.summary.worst_case_retention_pct |
| Formula | min(stressed_pnl / base_pnl) for base_pnl > 0 |
| Unit | Ratio |
| Format | XX.X% |
| Description | Minimum % of base return retained under stress |
Scenario Metrics
Funding Compression Scenario
Simulates funding rates compressing by 50%.
| Field | Formula |
|---|---|
stress.scenario.funding_compression.expected_portfolio_return_pct | Aggregate stressed returns under compression |
Fee Widening Scenario
Simulates fees increasing by 2x.
| Field | Formula |
|---|---|
stress.scenario.fee_widening.expected_portfolio_return_pct | Aggregate stressed returns under fee widening |
Trust Degradation Scenario
Simulates reliability scores dropping.
| Field | Formula |
|---|---|
stress.scenario.trust_degradation.return_retention_pct | stressed_pnl / base_pnl when base_pnl > 0, else null |
Stress Scenario Parameters
| Scenario | Parameter | Default |
|---|---|---|
| Funding Compression | Compression factor | 0.5 (50% reduction) |
| Fee Widening | Fee multiplier | 2.0 (100% increase) |
| Trust Degradation | Reliability reduction | -20 points |
Interpreting Stress Results
Return Retention
| Retention | Interpretation |
|---|---|
| > 80% | Resilient portfolio |
| 60-80% | Moderate stress sensitivity |
| 40-60% | High stress sensitivity |
| < 40% | Fragile portfolio |
Worst Case Analysis
If worst case return is:
- Positive — Portfolio survives all stress scenarios
- Near zero — Marginal under stress
- Negative — Portfolio loses money under stress
Per-Row Stress
Each allocation row shows stressed values:
| Field | Description |
|---|---|
| Stressed Return | Return under specific scenario |
| Stressed PnL | PnL under specific scenario |
| Return Delta | Difference from base case |
Risk Diagnostics
Based on stress results, the planner identifies:
| Risk Type | Trigger |
|---|---|
| Funding sensitivity | > 30% return loss under compression |
| Fee sensitivity | > 20% return loss under fee widening |
| Trust sensitivity | > 25% return loss under trust degradation |