The Risk Profile Comparison is a high-level risk overview for securities, portfolios, models, households, or any group of investments. It's a great interactive tool for you to compare + contrast your client's current holdings to your recommendation(s).
Below you will find descriptions of each modal in the Risk Profile Comparison; you can also find additional details by clicking the (+) in top right-hand corner of any section.
1. Asset Allocation
The asset allocation for the portfolio is broken down into four major categories (Equity, Fixed Income, Alternative, and Cash), and a full listing of holdings is provided. The additional details screen shows specific characteristics of each holding.
2. Risk + Return
The number in the red arrow indicates the greatest potential loss across all of HiddenLevers' scenario outcomes. Conversely, the number in the green arrow indicates the greatest potential gain across all of HiddenLevers' scenario outcomes. The Additional Details popup gives a full listing of the potential upside and downside impact for all scenarios. To learn more about a topic and the specific outcomes, click the name of a scenario. To get more information about how we calculate expected return click here
3. Risk Statistics
This section provides a comparison of the correlation risk and S&P 500 beta between each portfolio.
A beta of 1.0 means that a 1% rise in the S&P 500 could lead to a 1% rise in the investment, while a beta of -0.5 means that a 1% rise in the S&P 500 could lead to a 0.5% drop in the investment. The beta for an investment is determined by using regression analysis to measure the relationship between the returns of the investment and the returns of the S&P500.
(Click HERE to read more about correlation risk)
Total Return - Calculation of returns of all securities inside of portfolio over the timeframe selected. The calculation assumes the same portfolio for entire timeframe rebalanced weekly. Yield and expense ratio for each security is included in this calculation.
Max Drawdown - The actual historical peak to trough performance in the timeframe of the portfolio you are looking at
Volatility - HiddenLevers measures volatility as the annualized standard deviation of an investment or portfolio, expressed in percentage terms. The standard deviation is calculated using weekly data points and is then annualized by multiplying by the square-root of 52 (number of periods in one year).
5. Portfolio Statistics
Yield -The weighted average of the current yield (data updated monthly) for securities in the portfolio.
Sharpe Ratio - The Sharpe ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk.
Sortino Ratio - The Sortino Ratio subtracts the risk-free rate of return form the portfolio's return, and then divides that by the downside deviation.
This section simply explains the expense ratio, which is the weighted average of the most recently disclosed net expense ratio for securities in the portfolio and the AUM fee of each portfolio.
7. Stress Test Risk
This section of the Risk Profile Comparison shows the maximum downside of each portfolio using your default scenarios. You can see the maximum downside of each scenario by clicking "Show All Scenarios."
If you'd like to change your default scenarios go to "Model Settings" and click the "Default Scenarios" link.
8. Performance History
The chart shows the performance of each portfolio chosen against one another. The timeframe of this chart can be changed by using the "Timeframe" feature which can be found to the left of the Risk Profile Comparison.
Please note that this chart does not take into account trading history as HiddenLevers does not store the actual trading history for an account. The chart reflects the performance of a static portfolio.
9. Compare Positions
This section is often referred to as the "Transition Plan" as it compares the first portfolio against each portfolio you choose, and the amount allocated to each security.
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