Worst Realization
Worst realization is the largest single-day loss of the portfolio in the run window. It is reported as a positive number: a value of 0.06 means the worst day lost 6%.
Mathematical Formulation
Definition
A daily figure; it is not annualized.
Reading it
Worst realization is the limit of CVaR as the confidence level approaches 1. CVaR (95%) averages the worst 5% of days; worst realization keeps only the single worst day.
It depends on one observation, so a single crash day in the window decides it. MinWorstRealization minimizes it.
Like every metric on FolioLab, this value describes the run window. It is a measurement of past returns, not a forecast of future ones.
Where FolioLab reports it
results.<method>.performance.worst_realization: daily, over the run window.
Each value appears on the result page under Further Risk Measures, in the PDF and Excel reports, in the compare view and through the MCP explain_metric tool. A run stored before this measure existed does not carry it.
skfolio's worst_realization and riskfolio-lib 7.0.1's WR are the same definition.
References
- Young, M. R. (1998). "A Minimax Portfolio Selection Rule with Linear Programming Solution." Management Science, 44(5), 673-683.
Not investment advice. Past performance is not indicative of future results.