We developed our risk analytics to be clear and actionable. Graphic depictions of complex algorithms make it possible to determine patterns and directions that are helpful in constructing and managing our Concert Fund. We use similar risk allocation metrics to guide our clients in their total portfolio construction.

Parabolic curves show the expected range of outcomes for each risk profile, either a strategy, a bucket of strategies or an entire portfolio. The top and bottom of the curves represent the top third and bottom third of expected future outcomes for the given risk level. The slope of the parabola is determined by the expected Sharpe Ratio of the strategy.

Heat Maps deal with the two main variables of portfolio risk: volatility and correlation. Changes in either component can materially impact performance. We spend a great deal of time measuring and monitoring volatility of volatility and volatility of covariance. By adding the return component using Sharpe Ratios, we can assess the relative value of each component to the overall risk-adjusted return.

Relevance is an important consideration when contemplating the addition of a new strategy or investment to a portfolio or bucket, respectively. Our analysis can show the relative value of all different types of investment strategies to a benchmark or existing portfolio.

Where's Waldo is a sophisticated exercise we use to find shifts in the nature of risk of any component of a portfolio that is influencing a change in correlation to another portfolio or benchmark. This tool is very useful in measuring performance attribution for Portable Alpha Strategies.