Historic Risk Analytics

What you can do

• View Daily / Monthly Portfolio and Benchmark Volatility
• View Daily / Monthly distributions of Portfolio returns
• View Daily / Monthly Performance Index and Drawdown
• View portfolio risk statistics and analytics

Tips to remember

• Toggle between Daily and Monthly volatility by selecting the relevant time period on the top left
• Hovering over the bars on the distribution chart gives a breakdown of the % move frequency

Backtest

What you can do

• illio Backtest works by taking the current positions as of today and taking them back either 260 or 100 business days to then calculate performance and volatility
• View Daily Backtest and Benchmark Volatility
• View distributions of Backtest returns
• View a scatter chart of Annualised Return vs Volatility (daily) showing data points for your portfolio, selected index and asset classes
• View Simulated 1 year return versus 260-day volatility (over time)

Tips to remember

• Hovering over the bars on the distribution chart gives a breakdown of the % move frequency
• Hover over the asset class bubbles in the Annualised Return vs Volatility chart to see statistics
• Toggle between 100 and 260 business days using the button on the top left

Risk vs Return

What you can do

• View a scatter graph breaking down your Annualised Return vs 1 Yr Daily Volatility, showing data points for your portfolio, selected index and asset classes
• Return, Volatility and Market Value in base currency can be seen for your portfolio, selected index and asset classes in a table to the right of the graph

Tips to remember

• Hovering over the data plotswill show more information
• Clicking on the respective symbols in the table to the right of the graph will remove that data point from the scatter chart
• The closer your asset classes and portfolio are to the top left corner, The higher the return/volatility ratio of that asset class/portfolio.

Sensitivity

What you can do

• You can estimate how certain economic scenarios could potentially affect your portfolio
• Use the sliders along the top to change multiple variables
• The P&L impact of applicable assets affected by the selected change in the benchmark, is estimated by using the historical beta, which is a measure of the correlation and relationship between the variability of the price of an asset and the variability of the benchmark

Tips to remember

• ·There is a dropdown at the top right of the graph that can change the data view from the default of Sector to: Asset Class; Country; Currency
• This is an estimate using historical relationships and correlations and is not an indication of future performance

Analytics

What you can do

• View breakdown and contribution of asset classes to portfolio volatility (260-day period)
• View 260-day Beta of your 10 largest positions vs benchmark index

Tips to remember

• Toggle between 100 and 260 business days using the button on the top left