Portfolio Risk & Drawdown Management

Meridian Capital Partners · $2.1B AUM · As of Nov 30, 2024

Covenant Status
-9.4%
5.6% buffer to -15% limit
Max Drawdown
-9.4%
-2.1% from Q3
Sharpe Ratio (90d)
0.52
Below 0.35 threshold
CVaR 95%
-2.18%
Improved from -3.42%
Correlation Cluster
0.68
+0.17 risk
Recovery Days
14
To prior peak NAV
Vol Divergence
+1.3%
VaR underestimate

Drawdown by Sleeve — Peak to Trough

Correlation Heatmap (Top Holdings)

SPY
QQQ
TLT
GLD
VNQ
SPY
1.00
0.91
-0.23
0.14
0.58
QQQ
0.91
1.00
-0.19
0.09
0.62
TLT
-0.23
-0.19
1.00
0.31
-0.11
GLD
0.14
0.09
0.31
1.00
0.22
VNQ
0.58
0.62
-0.11
0.22
1.00
High correlation between SPY/QQQ/VNQ amplifies drawdown risk

Sharpe Ratio Trend (Rolling 90-Day)

Stress Test Scenario PnL Impact

VaR vs. Realized Volatility

Liquidity Coverage Ratio by Asset Class

Equity 1.89×
Fixed Income 2.31×
Alternatives 0.94×
Below 1.0× threshold
Cash 5.12×

Drawdown Recovery Velocity Tracker

Top 10 Holdings — Risk Contribution

Ticker Position % Beta Drawdown CVaR Contrib Liquidity
SPY 18.2% 1.00 -11.8% -0.42% High
QQQ 14.6% 1.12 -13.2% -0.38% High
TLT 11.3% -0.31 -4.9% -0.11% High
VNQ 8.9% 0.87 -9.4% -0.19% Medium
GLD 7.2% 0.08 +2.1% -0.03% High
IWM 5.8% 1.18 -14.7% -0.22% High
EFA 5.1% 0.92 -10.3% -0.14% High
BRK.B 4.6% 0.71 -6.8% -0.08% High