What Are the 12 Dimensions of Risk

in a Portfolio?

✅ Most investors think risk = volatility.
But that’s just one dimension.

In reality, risk is multidimensional —

and fragility hides in the spaces traditional metrics ignore.

The 12 Dimensions of Risk reveal

whether your portfolio is structurally sound

across stability, resilience, and efficiency.


Together, they form the foundation of the Sigma Score™,

your portfolio’s single structural truth signal.

Because if you’re only measuring 1 or 2 dimensions…
You’re flying blind.

📉 The Problem: What Most People Get Wrong

Wall Street told us to watch volatility.
To track Beta. To check your Sharpe ratio.

But here’s the truth:

Risk isn’t just how much your portfolio moves.
It’s whether it survives, recovers, and compounds —

under real-world stress.

And when you only measure volatility…
You miss the risks that actually cause pain.

👉 Hidden fragility
👉 Extended recovery
👉 Inefficient returns
👉 Behavioral abandonment

And when those risks go unseen,
They go unmanaged — until it’s too late.

🔁 The Belief Shift

Old Paradigm: “Volatility and drawdowns are the only risks that matter.”


New Paradigm: “Risk is structural. It’s layered. And it’s measurable — across 12 interlocking forces.”

“Risk isn’t a single number.
It’s a multi-dimensional fingerprint of your portfolio’s true durability.”

The Sigma Score™ makes the invisible visible.

🧱 The Structural Explanation

The 12 Dimensions of Risk are grouped into three core traits:

⚖️ STABILITY (Gamma)

Can your portfolio stay standing in turbulent environments?

  • Standard Deviation – How much does it fluctuate?

  • Beta – How correlated is it to market movement?

  • Max Drawdown – What’s the deepest historical loss?

  • Recovery Burden Index – How long does it take to bounce back?

  • Sharpe Ratio – How much return per unit of total risk?

  • Sortino Ratio – How much return per unit of downside risk?

🔁 RESILIENCE (Tau)

Can your portfolio recover and regenerate after damage?

  • Calmar Ratio – Return relative to drawdown

  • Information Ratio – Skill vs. randomness

  • Time Lost in Recovery – Calendar time spent underwater

  • Risk-Adjusted Return – Net return with risk fully priced in

⚙️ EFFICIENCY (Eta)

How intelligently is your portfolio converting risk into return?

  • Alpha – Value created beyond the benchmark

  • Treynor Ratio – Return per unit of systematic risk

  • Omega Ratio – Probability-weighted gain vs. loss

  • Return Consistency – Smoothness of returns over time

Each metric captures something different.
Together, they tell the full story.

These dimensions are synthesized into the Sigma Score™,

your portfolio’s unified health indicator.

📊 Why It Matters

If you only measure 1–2 risks:

  • You’ll miss the real reasons portfolios fail

  • You’ll blame the wrong problems

  • You’ll stay reactive — and exposed

When you measure all 12:

  • You get a full diagnostic, not a surface readout

  • You gain power to prevent, not just respond

  • You protect your future with system-level clarity

“After seeing all 12 risk dimensions,

it finally made sense why my portfolio felt fragile —

even when returns were fine.”

👥 Who This Is For

→ For investors flying blind with surface metrics:
If you’ve ever felt something was off but couldn’t prove it —

this shows you exactly where the stress points live.

→ For fiduciary advisors held accountable in chaotic markets:
If you’re tired of relying on shallow metrics to justify deep trust —

these 12 give you a foundation clients can actually believe in.

🛠 When You’re Ready, Here’s How I Can Help.

🧠 Further Insights to Strengthen Your Clarity

Ready to go deeper?

These aligned insights build on

what you just uncovered.

  • What Is the Sigma Score™ and What Does It Measure?

  • What’s the Difference Between Risk and Volatility?

  • Why Do Most Portfolios Fail During Market Crashes?

  • How Do You Design a Portfolio That Can Survive Anything?

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