One of the unique value adds of Riskalyze is that we assess risk at the individual security level, rather than making general assumptions at the asset class level. Individual Security Analysis surfaces that risk specific data AND in-depth investment analysis within Riskalyze Elite subscriptions for individual stocks, ETFs and mutual funds.
Note: Looking to upgrade to Elite? Contact our Customer Care Team at email@example.com and we'll be happy to help.
In This Article:
- Feature Access
- Security Summary
- Modeled Performance
- Asset Classification
- Regional Exposure
- Security Usage
Using the Global Search capability, you can search for the security you’d like to pull up directly on your home page.
Note: Elite Riskalyze users can also access individual security analysis pages by expanding the allocation details in a client or model portfolio and clicking on the Stats button in the header. See the animation below for a visual example:
The Security Summary areas display the key security metrics in an easy to read format which we’ve broken down into the following components:
- The header area for an individual security includes the name and Risk Number, along with the latest close price, annual dividend, expense ratio, and projected annual return. You’ll also notice a search bar, which allows for quick navigation additional security pages.
- The Security Summary widget is packed with quick-reference statistics about the security. The top half summarizes past and potential future returns, by presenting the security’s 95% Probability Range next to trailing returns for the past 3 months, 6 months, 1 year, 3 years and five years.
- Below the Security Summary, you’ll see additional financial and risk statistics for the security, including:
- YTD Return: Total return during the current year.
- 52 Week Range: 52- week intraday low and high price for security.
- Market Cap: The latest close price multiplied by the number of common shares outstanding. Net Assets (ETFs and Mutual Funds).
- Average Volume: Average daily trading volume over the last 3 months.
- Alpha: a measure of a particular security’s ability to create returns in excess of the measured benchmark dating back to 2004.
- Beta: Excess volatility as compared to the measured benchmark dating back to 2004
- Annualized Standard Deviation: annualized volatility since inception.
- Max Drawdown: observed loss in price from a peak to a trough of a security, before a new peak is attained.
- Total Assets: Represents the sum of total current assets, long-term receivables. Updated quarterly.
- Shares Outstanding: The number of shares outstanding at the company’s year-end. The difference between issued shares and treasury shares. Updated quarterly.
- Float (Floating Stock): Annual shares outstanding less closely held shares (float) for the fiscal year. Updated annually.
- EBITDA: Operating Income Plus Depreciation & Amortization for the trailing twelve months.
- EPS: Fiscal period earnings per share for the trailing twelve months.
- Price to Book: The latest closing price divided by the latest book value per share. Updated daily.
- PE Ratio: Price divided by earnings per share for the period requested, using the most recent close price within that period. Updated daily.
- PEG Ratio: The PERatio divided by the 5-year annual income growth rate. (Null if a company has negative earnings) Updated daily.
The Modeled Performance widget facilitates a deep historical and statistical analysis for your selected security and a benchmark. You can customize this analysis by setting up to 5 comparisons and even tailor benchmarks to meet your client’s unique needs.
The modeled performance chart plots the historical performance during a specified time frame for the selected security and benchmark, along with any added comparisons. We provide three ways to approach the desired time frame:
- You can click on the preset 3 month, 6 month, 1 year, 3 year options to populate time frames which begin 3 months, 6 months, 1 year, or 3 years prior to the most recent available data. (E.g. by clicking the 3 month option, you will be selecting data with a starting date of 3 months in the past, ending with the most recent data.)
Begin by dragging the indicators atop the widget to set the Start and End Dates for your analysis to model how each security performed during that time period.
- Select a custom date range that matches your specific criteria.
- Adjust the date range slider (in the small performance graph) to capture the peaks and troughs you are looking to model.
Adding a Comparison
To add a comparison to the analysis, click the “+” above the chart or the “Add Comparison” button below the table. This will expand the “Benchmark and Comparisons” side panel to the right. From here you can select a comparison option from your model portfolios, a curated list of indexes and blended benchmark portfolios, or search for another security to add. From this panel, you can also adjust your selected benchmark. By default, we’ll pre-select the S&P 500, but anything you add as a comparison can be set as your benchmark.
Great financial advice is founded on solid data and statistics. To ensure you have more metrics than you can shake a stick at, we dynamically calculate all of the statistics below based on the timeframe and benchmark you select:
- Beta: A comparative statistic expressing the ratio of a securities volatility to that of the indicated benchmark.
- R Squared: Quantifies the percentage a securities 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 securities efficiency, by illustrating its return relative to its risk exposure. This can help to facilitate a comparison of securities with drastically different Risk Numbers.
- Batting Average: This statistic will tell you how each security fared at the plate during the “season” you define above. In this case, a securities 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 security before a new peak is established during the specified time period.
- Standard Deviation: Volatility metric expressing the standard deviation of monthly returns for the security 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 security perform?
Clicking the Settings icon on the right-hand side of the ISA page 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 which 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.
Note: Advisor fees are not included in calculations.
Part of being investing in the long-term is making sure not all of your proverbial eggs are in one basket. With the Asset Classification widget, you can feel confident you know what’s under the hood of the investments you’ve selected for your clients by analyzing the primary two components of this widget:
- For mutual funds and ETFs, we’ve dynamically broken down the investment into the granular equity and bond sectors the fund is comprised of, in addition to the high-level asset classification of stocks, bonds, cash, other.
- The treemap visual allows you to contextualize the portion of a fund each individual sector represents. It also displays the same figures for a selected benchmark. Under or overperformance relative to a benchmark can often be further explained and analyzed by honing in on differences in sector exposure.
You can explore a fund’s geographic exposure in the Regional Exposure widget. Here we illustrate a fund’s exposure over the seven geographic regions of North America, Latin America, Europe, Asia, Middle East, Africa, and Oceania.
Any exposure to a geographic region over 0 will be symbolized with a twin donut chart with the blue ring representing exposure in that region for the selected fund, and the inner gray ring representing the benchmark. The table to the right displays this same information and further breaks down the information into sub-regions.
Clicking on the Usage button (the chart icon in your right-side panel) allows for a quick glance at your use of a particular security across your entire book of business within Riskalyze. Here you’ll see how many client portfolios, models, and proposals the selected security is used in, along with the total percentage of each that the security is found in. Additionally, we’ll surface total dollar exposure to the security in client portfolios.
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 security risk efficiency and gives you the flexibility of shifting time frames.
The chart plots average annual return and annualized standard deviation, with the ability to shift between 1Y, 3Y, and 5Y time frames.
Size and Style
The equity portion of the mutual fund or ETF is further explored in Size and Style, where we've categorized the "market cap class" of the security's equity exposure into Small, Mid, and Large Cap, and the "investment style class" of the security'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 security that is, for instance, Large Cap Equity or Growth.