Paired with the Risk Number®, the high-level analytics generated in all Riskalyze portfolios - like the 95% probability range or aggregate portfolio yield - do an excellent job of summarizing portfolio metrics and composition. However, when summaries aren't enough, advanced portfolio analytics are just a click away with Stats (available with Riskalyze Elite and legacy Riskalyze Premier plans).
In This Article
- Accessing Stats
- Portfolio Summary
- Modeled Performance
- Asset Classification
- Regional Exposure
To access Stats for a client's current or proposed portfolio OR for a model portfolio, simply navigate to that portfolio's page. From there, click the Stats button in the header area of your current page.
The Portfolio Summary widget displays a handful of helpful summary statistics associated with the portfolio. These include:
- Portfolio Total ($)
- Annual Dividend
- Expense Ratio
- Potential Annual Return
- Riskalyze GPA
- 6-Month 95% Probability Range
The Portfolio Summary also includes trailing return percentages for the last 3 months, 6 months, 1 year, 3 year and 5 year periods. These figures are based on current holdings/allocations and do not take historical rebalancing events into account. Some portfolios may contain allocations younger than the time periods displayed. In those instances, we’ll show a “ – “ in place of the return figure.
Pro Tip: From the header area in Stats, you can mute any of the accounts in a portfolio. This allows you to quickly reference the impact of a particular group of accounts on a portfolio's performance, diversification and sector exposure OR quickly move between assets under your management and a more holistic portfolio view.
The Modeled Performance widget facilitates a deep historical and statistical analysis of your portfolio, up to 5 comparisons, and a benchmark.
Benchmarks and Comparisons
You can quickly adjust the selected benchmark or add comparisons to modeled performance in your side panel to the right - just click the Benchmarks and Comparisons button in the top right-hand corner of the page to expand the panel. From here you'll have access to the following when adding comparisons or selecting an appropriate benchmark:
- Any of your model portfolios or models you've subscribed to in our Partner Store
- A curated list of indexes and blended benchmark portfolios
- Any stock, ETF, or mutual fund
- If accessed for a client portfolio - ANY of that client's historical proposals
Note: The side panel will also expand if you click the edit icon next the benchmark's name or by clicking Add Comparison directly in the Modeled Performance widget.
The modeled performance chart plots the historical performance during a specified time frame for the portfolio's current holdings, along with the benchmark and any added comparisons. We provide three ways to approach the desired time frame:
- You can click on any of the preset timeframes to quickly snap the chart to view the last 3 months, 6 months, 1 year or 3 years.
- Adjusting the date slider directly above the chart to snap to a desired month and year.
- Selecting a fully custom time frame by clicking on the stated date range in the top right corner of the widget and using our calendar-style date picker.
You can also perform a brush zoom on the chart by clicking your mouse and dragging over a specific period of time that visually stands out. Click the magnifying glass icon to snap back to your prior time frame.
Note: Charted performance is hypothetical and assumes a calendar quarter-end rebalance schedule for the blended benchmark and each charted portfolio.
In the Modeled Performance table below, we’ll also surface some meaningful statistics for each portfolio you’ve included in the analysis. Each of the following statistics is dynamically calculated based on the timeframe and benchmark you select:
- Beta: A comparative statistic expressing the ratio of a portfolio’s volatility to that of the indicated benchmark.
- R Squared: Quantifies the percentage a portfolio’s movement (both positive and negative) that can be attributed to movement in the indicated benchmark.
- Sharpe Ratio: This “bang-for-your-buck” metric assesses a portfolio’s efficiency, by illustrating its return relative to its risk exposure. This can help to facilitate a comparison of portfolios with drastically different Risk Numbers.
- Batting Average: This statistic will tell you how each portfolio fared at the plate during the “season” you define above. In this case, a portfolio’s batting average is simply the percentage of months during the time period, that it outperformed the indicated benchmark.
- Drawdown: The maximum percent loss, from peak-to-trough, for a portfolio before a new peak is established during the specified time period.
- Standard Deviation: Volatility metric expressing the standard deviation of monthly returns for the portfolio during the time period specified.
- This may be a higher figure than you are used to seeing, as most reporting sites show an annual standard deviation in 1/3/5 year illustrations.
- Riskalyze dynamically shows the total standard deviation for the time period selected.
- Total Return (%) – Simply put, how well or how poorly did the portfolio perform?
The summary picture of the portfolio's overall diversification is presented through three distinct lenses: Correlation, Diversified Risk, and 95% Probability Capture.
Our interactive chord diagram provides a snapshot of the relationships between the largest allocations in a portfolio. This helps an advisor to visually reference strong correlations (or anti-correlations) between a portfolio’s most relevant holdings.
Each slice in the diagram represents an allocation – the larger the slice, the larger the allocation’s weight within the context of the overall portfolio. A single chord connects each of the allocation slices in the chart. Each chord is color-coded to represent the strength of the relationship between the two allocations it connects – with blue representing a strong anti-correlation and green representing a strong correlation.
Hovering or clicking an allocation slice within the chord diagram will highlight its correlations to each of the portfolio’s other allocations, and mute the rest. You can lock in this state by clicking on an allocation in the table to the right. Doing this will also reveal a sorted list of the selected allocation's relationships (correlation coefficients) with the rest of the portfolio.
Note: When modeled as an income stream, VA subaccounts are excluded from the correlation diagram. Additionally, allocations comprising less than 2% of the overall portfolio are excluded.
The diversification of any given portfolio can be a difficult thing to quantify. The Diversified Risk widget solves that problem by measuring the impact of anti-correlation between the various holdings of the portfolio and translating that data into the language of the Risk Number. At a single glance, you’ll be able to identify what a portfolio’s Risk Number would have been without considerations toward diversification. This, along with the portfolio’s actual Risk Number, allows us to condense a portfolio’s overall diversification into a single number.
95% Probability Capture
Hedging solely to reduce downside risk is does not tell the entire story. The potential outcomes for a portfolio matter just as much on the upside as they do on the downside, and it's important to frame that in relation to the portfolio's selected benchmark. The percentages in 95% Probability Capture compare the portfolio's 95% Probability Range values to that of the benchmark and allow an advisor to tell that story.
Let's consider a portfolio with a potential upside of 15% and a potential downside of 10% over the next 6 months, compared to a benchmark with a 10% upside and a 6% downside. This portfolio's 95% Probability Capture would reflect 167% on the downside and only 150% on the upside - illustrating potentially inefficient risk exposure, relative to the benchmark.
Part of being investing for the long-term is making sure all of your proverbial eggs aren't in one basket. With the Asset Classification widget, painting this picture for your clients or prospects is easier than ever.
Here, we've framed a high-level asset classification (stocks, bonds, cash, other) in the same visual as a more detailed equity and bond sector overview. This allows you to visualize the weight of a particular sector relative to the overall portfolio not just its asset class.
Equities are broken down in the following sectors:
- Basic Materials
- Consumer Defensive
- Consumer Cyclical
- Financial Services
- Real Estate
- Health Care
- Communication Services
Bonds (individual bonds as well as the bond portion of mutual funds and ETFs) are sorted into either Government, Municipal, Corporate, or Other.
You'll notice that the table above lists the same categorization for your selected benchmark, allowing you to not only discuss the portfolio, but also compare its composition to that of the benchmark. This table also surfaces the average duration and maturity of the bond portion of the portfolio.
You can explore a portfolio's exposure throughout the world in the Regional Exposure widget. Here we illustrate the portfolio's exposure over the following seven geographic regions: North America, Latin America, Europe, Asia, Middle East, Africa, and Oceania. Hover over any of the geographic regions, or click on one in the corresponding table, for a breakdown of the subregions within the geographic regions symbolized on the map.
Regional Exposure also includes benchmark references in both the chart and table areas.