Risk-Adjusted Portfolio Performance
Meridian Capital Partners · $4.2B AUM · YTD 2024
Net Sharpe Ratio
1.14
+8.6%
vs Q3
Max Drawdown
-7.3%
Equity Growth
VaR Utilization
83%
Peak 97%
Active Share
68.4%
+2.1pp
Information Ratio
0.61
+60.5%
12M
Liquidity Coverage
3.2d
10% AUM
Realized vs. Implied Volatility Spread — Equity Sleeve (90d)
Factor Exposure vs. Mandate Target
Post-Drawdown Recovery Velocity
Equity Growth
March Event Recovery
Fixed Income
Q2 Rate Spike
Multi-Asset Balanced
August Vol Spike
Benchmark Comparison
Average portfolio recovery 18d faster than MSCI ACWI benchmark across 3 events YTD
Drawdown Depth by Sleeve — Rolling 252d (YTD)
Risk-Return Scatter: Sleeves vs. Benchmark
Active Share by GICS Sector
Correlation Drift Heatmap — Rolling 60d vs. Mandate Assumption
Equity Growth
Fixed Income
Multi-Asset
S&P 500
Agg Bond
Equity Growth
—
-0.12
+0.08
+0.03
-0.15
Fixed Income
-0.12
—
+0.04
-0.22
+0.01
Multi-Asset
+0.08
+0.04
—
+0.09
-0.02
S&P 500
+0.03
-0.22
+0.09
—
-0.18
Agg Bond
-0.15
+0.01
-0.02
-0.18
—
Position-Level Risk Attribution
| Position |
Sleeve |
Weight |
Contrib to VaR |
Beta to Portfolio |
Sharpe (6M) |
Status |
| MSFT Equity |
Equity Growth |
8.2% |
12.4% |
1.14 |
1.82 |
In Range |
| AAPL Equity |
Equity Growth |
7.6% |
10.8% |
1.08 |
1.65 |
In Range |
| NVDA Equity |
Equity Growth |
6.4% |
18.2% |
1.52 |
2.14 |
High VaR |
| US 10Y Treasury |
Fixed Income |
14.2% |
8.6% |
0.32 |
0.52 |
In Range |
| IG Corp Bonds |
Fixed Income |
11.8% |
7.1% |
0.41 |
0.68 |
In Range |
| EM Sov Debt |
Fixed Income |
4.2% |
9.4% |
0.88 |
0.94 |
High VaR |
| Gold Futures |
Multi-Asset |
3.8% |
5.2% |
-0.12 |
1.08 |
Diversifier |
| REIT Index |
Multi-Asset |
5.1% |
6.8% |
0.72 |
0.88 |
In Range |
VaR Utilization Rate — Daily (90d)
Risk Budget Allocation by Sleeve