The numbers behind the number.
Our promise is plain English on the surface and institutional discipline underneath. This page is the underneath — the measures we run on your wealth, the scenarios we test it against, and the assumptions behind every figure. Written to be read: a clear version for anyone, and a precise version for those who want the footnotes.
- We answer two questions with numbers: are you rewarded for the risk you take, and how far could your wealth fall.
- Downside is measured three ways — a normal market, a stressed market, and a real-world shock — using the same tail measure banks apply to their own trading books: Expected Shortfall at 97.5%.
- We use the previous day's closing prices and replay real history — we assume no tidy bell curve, and we never predict.
- We are open about what the method cannot do. The honest limits are on this page, not hidden in a footnote.
Two questions, answered in numbers.
Every measure on this page serves one of two questions. The first is about reward. The second is about safety. Neither is an opinion — both are arithmetic on your own holdings.
Are your returns worth the risk?
It is easy to know what a portfolio returned. It is much harder to know whether that return was fair payment for the risk taken to earn it — and whether it beat a fair comparison. That is what performance measurement answers.
How far could it fall?
Averages describe calm years. Risk is about the bad ones. We measure the size of a serious loss — not the chance of a small dip — across a normal market, a stressed one, and a genuine shock.
Return, weighed against the risk it cost.
A 12% return sounds good until you learn what was risked to get it. We weigh return against risk, and against a fair comparison — then translate the result into plain green, amber or red.
Risk-adjusted return
How much return you earned for each unit of risk you carried — the institutional way to compare two portfolios fairly, rather than by headline return alone.
Benchmark & peer-relative
Whether you beat a relevant market, and investors in a position like yours — not a flattering index chosen after the fact.
The performance read
The measures are combined into a single, honest read of whether your approach is working — so you don't need to interpret a page of ratios.
Three ways of asking “how bad could it get?”
The three rows you see on the platform each come from a distinct, established measure. They rise in severity — an ordinary bad stretch, your own worst historical year, and a deliberate shock that hasn't happened yet.
Expected Shortfall, 97.5%
The average loss on your worst days — not the chance of a loss, but its typical size when a bad day arrives. We read it from roughly two years of real daily history, ranking every day and averaging the tail.
Stressed Expected Shortfall
The same tail measure, but recalibrated to the worst continuous stretch in your own book's history — often a period like 2020 or 2008 — so the figure reflects a genuinely hard year rather than a calm one.
Forward-looking stress tests
Deliberate, hypothetical shocks — a sharp market fall, a currency move — applied to exactly what you hold today. These capture tail events that history hasn't shown yet, the way regulators stress banks.
The choices behind every figure.
Every risk number rests on assumptions. Firms that hide them ask you to trust the output blind. Here are ours, in the open.
Yesterday's closing prices
We value everything on the previous business day's end-of-day prices and exchange rates. It is the institutional convention: it uses only information that was genuinely available, so no figure benefits from hindsight.
Real history, not a bell curve
We replay actual market history rather than assuming losses follow a neat statistical curve — because real markets have fatter, uglier tails than the tidy models suggest. This is called historical simulation.
Standard institutional conventions
252 trading days a year; returns linked the way compounding actually works; a risk-free rate for risk-adjusted measures. The same conventions used on institutional books, so the figures are comparable to a professional standard.
Your currency, one balance sheet
You choose a reporting currency; everything you hold abroad is converted into it before any measurement, so the whole picture is stated on one consistent footing — including property, not just investments.
A look-back you can set
Performance is measured over a horizon you choose — typically one, three or five years. The tail measures use roughly two years of daily data; the stressed measure uses about one. Every report states the exact window it used.
What this method cannot tell you.
No measure sees everything. Naming the edges is the difference between a tool and a sales pitch — and it is how a risk manager actually thinks.
Modelled by a close match, not priced bond-by-bond
Individual bonds are risk-modelled using a closely matched slice of the bond market rather than a full instrument-level pricing model. That is enough to size the risk well; it is not a substitute for bond-by-bond valuation, and we flag where it applies.
A revaluation and a shock — not yet its own risk factor
Exchange-rate moves are captured when we revalue foreign holdings and inside the stress tests, but currency is not yet tracked as a standalone risk in its own right. That is a deliberate, disclosed choice for launch.
Alternatives sit outside the risk model at launch
Private holdings, collectibles and similar assets are not risk-modelled at launch — they lack the reliable daily prices the measures need. Where they matter to your total wealth, we say so plainly rather than pretend a number.
Valued periodically, not priced live
Property enters your balance sheet at your most reliable valuation and is refreshed periodically. It does not move day to day like a listed share — and treating it as if it did would be false precision.
History constrains — it does not predict
Every figure here is a measured range from real data, not a forecast. The next shock may be worse than any in the record. We measure so you can see the shape of the risk; we never claim to know the future.
Every measure, in one line.
For readers who want the exact definitions. If this is your idea of a good footnote, this section is for you.
These are the measures used on institutional trading desks, applied to a private balance sheet. If you would like to test them against your own holdings, that is exactly what the free assessment is for.
The questions a careful reader asks.
What confidence level do you use, and why 97.5% rather than 99%?
We lead on Expected Shortfall at 97.5% — the level global bank supervisors adopted for trading books under the post-crisis market-risk rules, replacing the older 99% Value-at-Risk. The reason is that Expected Shortfall measures the average size of losses in the tail, so 97.5% Expected Shortfall is designed to be at least as demanding as 99% Value-at-Risk while telling you more about how bad a bad day actually is.
Do you predict crashes or tell me when to get out?
No. We measure and we monitor; we do not forecast. The daily check compares your measured risk against limits you set and alerts you the moment you breach one — that is oversight against a pre-agreed number, never a claim to see a fall coming. And we never tell you to buy or sell anything.
How current is the data behind my numbers?
We value your wealth on the previous business day's closing prices and exchange rates. It is the institutional convention because it uses only information that was actually available at the time — no figure quietly borrows from hindsight. Property is carried at your most reliable valuation and refreshed periodically.
Why model bonds with a proxy instead of pricing each one?
Reliable daily prices for individual bonds are patchy, so we risk-model each bond using a closely matched slice of the bond market that does have clean daily data. It sizes the risk well and keeps the whole picture consistent. It is not full bond-by-bond pricing, and we mark where it applies rather than hide it — see the honest limits above.
Does this include my property?
Yes. Most reviews quietly ignore the largest thing people own. We assess your whole balance sheet — investments, cash and property — as one picture, because that is the only honest way to measure your real downside. Property is valued periodically rather than priced live, which we state clearly.
Is any of this financial advice?
No. This is independent risk analysis and information: what your figures are, how they were measured, and what they mean. We never recommend specific investments, we never handle your money, and we are not authorised or regulated as an investment adviser. What you decide with the numbers is entirely yours.
The method is on the table. Bring your holdings.
A free 20-minute risk assessment with a senior risk specialist runs these measures on your own wealth — property included — and gives you the one number most investors never see: how far it could fall, against the loss you'd actually accept. No report, no pitch; just where you stand.
Private Hedge provides independent risk analytics, education and information. Nothing on this page is financial advice, a personal recommendation, or an invitation to buy or sell any investment. Private Hedge Limited holds no custody of client assets, takes no commissions, and sells no products; any account connection is read-only. We are not authorised or regulated as an investment adviser, portfolio manager, or broker in the UK, EU, or US. The value of investments can fall as well as rise and your capital is at risk. Figures and screens shown are illustrative unless a source is given; past performance is not a reliable indicator of future results.
- Basel Committee on Banking Supervision, Minimum capital requirements for market risk (the Fundamental Review of the Trading Book), Bank for International Settlements — the standard that adopts a 97.5% Expected Shortfall for trading-book market risk. bis.org/bcbs/publ/d457.htm
- Bank for International Settlements, Explanatory note on the minimum capital requirements for market risk. bis.org/bcbs/publ/d457_note.pdf