How to Ensure Your Portfolio Risk Analytics Are Working as Expected

In this post, our research team demonstrates a clever way to backtest forward-looking scenarios commonly used in portfolio risk analysis.

September 04, 2018

This is the second in a series of posts in which our research team leverages new investment risk analytics in Stylus Pro to demonstrate how historical and forward-looking stress tests can provide deeper insight into fund performance across various market regimes and hypothetical scenarios.

Scenario analysis is a form of risk estimation that sits apart from many other measures. Rather than reporting what has happened, scenarios permit us to explore possibilities that may have never occurred and assign a numerical value to a variety of “what if” propositions. Scenario analysis also allows us to estimate how a shock to a variable, be it a market index, risk factor or macro-economic variable, could impact a fund or portfolio.

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