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.
In This Article
- Accessing Stats
- Trailing Returns
- Modeled Performance
- Diversified Risk
- Risk and Reward
- Asset Classification and Sector Breakdowns
- Regional Heatmap
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 right margin of the page to access the feature.
The STATS header displays the name and Risk Number of the portfolio, along with the total value for client portfolios. Additionally, trailing return percentages for the last 3 months, 6 months, 1 year, 3 years are listed along with the all-time return percentage of the portfolio. These figures are based on current holdings/allocations and do not take 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.
The Modeled Performance widget facilitates a deep historical and statistical analysis of your portfolio’s holdings along with the holdings of up to 5 comparators and a benchmark index. To add a comparator to the analysis, simply click the “Add Comparison” button and select from your model portfolios, a curated list of indexes, or, if you’re accessing Stats for a client’s portfolio, any of that client’s historical portfolios. We’ll pre-select the S&P 500 as your benchmark, but you can hit the benchmark dropdown at any time to select an alternate index.
The chart itself plots the aggregate historical performance of each portfolio, along with the selected benchmark index. We’ll start by illustrating performance over the past year. To adjust this, simply drag the indicators atop the widget to set the Start and End Dates for your analysis, and we’ll show you how each portfolio performed during that time period.
In the 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?
Our interactive chord diagram illustrates the correlations between the largest allocations in the featured portfolio and should help an advisor to visually reference strong correlations (or anti-correlations) between a portfolio’s most relevant allocations.
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 purple 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.
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.
Risk and Reward
The Risk and Reward scatter plot allow for further, at-a-glance comparison of all the portfolios added to the Modeled Performance analysis, along with the selected benchmark index.
Each portfolio or index is automatically added to the chart which plots Return (during the timeframe specified in Modeled Performance) along the Y-Axis, against Risk (Volatility during that same time period) along the X-Axis. Hover over any plotted point to see the actual values for each.
Asset Classification and Sector Breakdowns
In addition to classifying the percentage of the portfolio comprised of stocks, bonds, cash, and “other” (featured in the Asset Classification widget), Stats goes farther by exploring the Equity and Bond sectors of the portfolio.
Individual securities along with the equity portions of mutual funds and ETFs are further explored in the Equity Sector widget. Here, we’ve broken this portion of the portfolio down into the following market sectors:
- Basic Materials
- Consumer Defensive
- Consumer Cyclical
- Financial Services
- Real Estate
- Health Care
- Communication Services
The bond portion of mutual funds and ETFs are broken down in the Bond Sector widget, sorting this portion of the portfolio into one of four sectors: Government, Municipal, Corporate, and Other. This widget also calculates an aggregated maturity date for the bond portion of the portfolio (including its individual bonds) and surfaces the average duration of the bond portion of the portfolio.
You can explore a portfolio's exposure throughout the world in the Regional Heatmap. 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.