There are broadly 2 regimes that dictate volatility and correlation, normal and shit-hitting-the-fan. Risk parity models skew heavily towards the everyday, when prices tick up / down by small amounts, and diversification exists.

On adverse market wide event, there is (generally) no diversification, and leveraged portfolios in particular can face significant losses.

There is no silver bullet, but portfolio wide value at risk, i.e. what the outcome on the day/week/month on any given day in the last 5 years (or more) had I held these exact same positions is as good a measure as any. The distribution of outcomes being something worth understanding and tuning risk to.