Build portfolios for market shocks
Scenario-driven tail-risk analytics for systematic investors. Estimate drawdown ranges, recovery horizons and historical path matches, then turn them into defensive allocation signals.
Designed for portfolio stress testing, regime detection and risk-aware allocation—not short-term price targets.
6
Backtested market windows
+55.3pp
Avg excess across GFC & Dotcom backtests
5 of 6
Windows with max drawdown below 15%
≈0
Crisis Beta
Case study: a risk-aware allocation strategy
Backtested across 6 selected market windows · historical backtests generated with BlackSwan API signals (not live trading results)
| Window | Market | v10 Return | SPY Return | v10 Max DD | SPY Max DD | Note |
|---|---|---|---|---|---|---|
| Bull 2024-2026 | Bull | +40% | +62.8% | -14.3% | -18.8% | Bull sacrifice 22.8pp (by design) |
| GFC 2007-2009 | Sharp bear | +58.6% | -15.9% | -13% | -55.2% | Excess +74.5pp |
| Dotcom 2000-2002 | Slow bear | -0.8% | -36.9% | -8.3% | -47.5% | Excess +36.1pp |
| 2018Q4 Trade War | Policy shock | +13.1% | +20% | -6.3% | -19.4% | Drawdown cut by 68% |
| 2022 Rate Hike | Rates+inflation | -11.7% | +1.1% | -21.2% | -24.5% | Weak spot: lower drawdown, but underperformed SPY |
| 2020 COVID Crash | Flash crash | +45.6% | +37.7% | -7.6% | -33.7% | Excess +7.9pp, Sharpe 1.79 |