Paired with the Risk Number®, the high-level analytics generated in all Riskalyze portfolios - like the 95% Historical 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
- Printing Reports
- Getting Value Out of Advanced Portfolio Analytics
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% Historical Range
- Max Drawdown*
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.
Note: Our Trailing Returns calculation uses the adjusted close price including dividends and expense ratios.
*Max Drawdown is the maximum percent loss, from peak-to-trough, for a portfolio before a new peak is established during the specified time period. The time period used covers at least 90% of the portfolio that is publicly traded, starting from June 1, 2004 or later. Custom allocations, non-traded REITs, and non-traded BDCs are not included in the max drawdown calculation.
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. Advisor fees are not included in calculations.
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:
- Risk Number: Quantitative assessment of the portfolio's risk exposure.
- 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.
- Drawdown: The maximum percent loss, from peak-to-trough, for a portfolio before a new peak is established during the specified time period.
- Annualized Standard Deviation: Volatility metric dynamically expressing the standard deviation of monthly returns, annualized*, for the portfolio during the time period specified.
- *Most reporting companies display only an annual standard deviation in 1/3/5 year illustrations)
- Total Return (%) – Simply put, how well or how poorly did the portfolio perform? The Total Return calculation is segmented to the timeframe you choose and is rebalanced Quarterly.
But wait... There's more! Clicking the Manage Columns icon in the top-left of the modeled performance table will take you to your Modeled Performance settings. From here, you can further configure the stats calculated and shown in Modeled Performance. In total, you've got access to the following 8 additional statistics:
- Alpha: Measure of a particular portfolio or investment's ability to create returns in excess of the selected benchmark.
- M Squared: M-squared, also known as Modigliani risk-adjusted performance, measures the returns of the portfolio, adjusted for the risk of the portfolio relative to that of the selected benchmark during the specified time frame.
- Sortino Ratio: A risk-adjusted return figure that separates "total volatility" from "harmful volatility" by measuring how much return a given portfolio or security produces for each unit of downside deviation, rather than total deviation.
- Treynor Ratio: A risk-adjusted return figure that adjusts for systematic risk, or beta, over the specified time frame.
- Return over Max Drawdown (RoMaD): A risk-adjusted return figure that compares returns to the maximum drawdown during the specified time frame. This is especially useful when accounting for portfolios or investments that do not follow a normal distribution of returns.
- Gain-to-Pain Ratio: A risk-adjusted return figure, calculated by dividing the sum of monthly portfolio (or investment) gains by the absolute value of monthly losses, during the specified time frame.
- Time to Recovery: Measures the amount of time between a portfolio or investment's maximum drawdown and its recovery - defined as the day it exceeds its previous peak value.
The summary picture of the portfolio's overall diversification is presented through three distinct lenses: Correlation, Diversified Risk, and 95% Historical 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% Historical Capture
Hedging solely to reduce downside risk 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% Historical Capture compare the portfolio's 95% Historical 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% Historical 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 (held within 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.
Stats is packed with tools to keep you prepared for those analytics-focused client conversations. You can explore portfolio composition through even more lenses:
Risk and Reward
Tabular comparisons are fantastic for analysis, but visuals help you bring that powerful data to life with your clients. The Risk and Reward scatterplot helps you paint the picture of portfolio risk efficiency and gives you the flexibility of shifting time frames and diving into portfolio composition.
The chart plots average annual return and annualized standard deviation, with the ability to shift between 1Y, 3Y, and 5Y time frames. For your selected portfolio, you'll be able to "zoom in" to view where that portfolio's top 10 holdings (by allocation percentage) fall on the very same graph.
Size and Style
The equity portion of the portfolio is further explored in Size and Style, where we've categorized the "market cap class" of the portfolio's equity exposure into Small, Mid, and Large Cap, and the "investment style class" of the portfolio's equity exposure into Value, Blend, and Growth. Evaluation of investment style is based on a number of factors including revenue growth rate, earnings growth, EPS, price-to-earnings ratio, and price-to-book, among others.
Size and Style flexibly groups this data by either "Size" or "Style" allowing you to quickly summarize the portion of the portfolio that is, for instance, Large Cap Equity or Growth.
You have two options for generating a printable Stats output. After clicking Create Report on a client or model portfolio, each are found under the Portfolio Reports section of your report creation modal. From there you have the option to print a Stats report focused on a single portfolio or proposal (Stats Overview) or print a comparison report, that compares two selected portfolios or proposals (Stats Comparison).
When printing a Stats report you'll have the following available configurations:
- Report Title: Edits the title text on the report's cover page
- Selected Portfolio and Comparison Portfolio: When printing this report for a model, you'll be able to select from any of your models or models you've subscribed to in our Partner Store. When printing for a client, you'll be able to select from any of that client's historical portfolios or proposal you've created for them.
- Benchmark: You'll have access to all the same benchmark selections you have in-product.
- Report Sections: Each of the sections in either Stats report can be turned on or off when generating the report
- Modeled Performance Settings: Both Stats reports include a modeled performance section. When including this section, you'll select a primary timeframe - used for both the performance chart and associated statistics. We'll also surface those same statistics for up to 2 supplemental timeframes.
Getting Value Out of Advanced Portfolio Analytics
Want to see Stats in action? Check out our Stats webinar with Jonathan Scott, Director of Core Product.