Assess and interpret an analysis based on historical scenarios

Historical scenario analysis examines how a strategy or portfolio behaved in particular past regimes, such as recessions, inflation shocks, rising-rate periods or crises, rather than over the whole sample. The sample is split by regime, and returns, volatility, drawdowns and correlations are compared across the pieces. This shows whether a good average hides dependence on one environment, and whether diversification between strategies holds when it is needed most, since correlations often rise in stress. Interpretation needs care: regimes are few, so each subsample is small, and the next episode may differ. The trap is concluding that a strategy is robust because its full-sample average is attractive when it loses heavily in the regime that matters most.