4 More Solovis Risk Pro Analyses for Investment Committee and Board Materials

While working on Investment Committee (IC) and Board Meeting materials, striking the right balance between summarizing takeaways and providing enough detail is no easy task. With Risk Pro, you can upload your organization's investments, create a portfolio, and surface key insights that you think are most important to your audience. As a follow up to a piece on four Risk Pro analyses for IC and Board materials, this guide highlights four additional blocks to include in meeting materials, along with sample outputs you can export or paste into a presentation, plus explanations and example takeaways for each analysis.

1. Notable Historical Periods

Notable Historical Periods can help allocators understand the historical performance of their managers or portfolios during well-known historical periods, as identified by Risk Pro, or by specifying a minimum threshold to see periods of outsized negative or positive performance.

IC/Board takeaway: Use this output to clearly summarize the current portfolio's backtested drawdowns. Selected Periods asks how the portfolio, as it is positioned today, would have performed during these notable periods, and whether the performance is in line with expectations or carries too much downside risk. Risk Pro Identified Notable Periods shows how many periods throughout recent history the portfolio would have been down by 20% or more.

2. Hypothetical Drawdown Analysis

Given that not all portfolios in Risk Pro will have a multi-year track record, Risk Pro includes a tool to estimate how a current portfolio might have performed during historical periods, even before the available analysis period. Hypothetical Drawdown Analysis is designed to help allocators understand which historical periods, if repeated today, could create a drawdown in a portfolio, given the latest factor exposures as determined on Risk Pro.

IC/Board takeaway: In the absence of a long track record, this analysis provides an estimate of how the current portfolio might have performed during drawdowns dating back to the mid-1990s. Clicking on a particular period shows which investments within the portfolio would have contributed the most and least to that drawdown, helping assess whether the organization is prepared to experience similar drawdowns if history repeats itself.

3. Factor Trend

In addition to viewing Factor Exposures for the portfolio over a single analysis period, Risk Pro can show how those exposures have changed over time by displaying rolling factor exposures on the Factor Trend charts. Users can also click into a specific period to see the exposure contributions from underlying investments.

IC/Board takeaway: Clicking on any period's factor exposures shows which underlying investments are contributing to those betas, helping determine whether the portfolio has been exposed to the same factors throughout history, whether there has been style drift, and whether new exposures in more recent periods are intended.

4. Residual Analysis

An important component of factor-based analysis is the residual, or the amount of risk or return that cannot be explained by the factors in the factor lens. For Risk Pro, the residual can represent idiosyncratic sources of risk or return. The Residual Analysis block displays the Residual Return, Volatility, and Sharpe ratio, along with a graphical representation of its growth, or lack thereof, over time.

IC/Board takeaway: This analysis helps determine whether the residual component is positive or negative, how it has trended over time, and whether managers receiving compensation for idiosyncratic sources of risk and return are delivering positive, consistent residual returns over time.

Each of these analyses can be reviewed one at a time, or saved together in a Custom Template. Charts and tables can be exported as images for placement in materials, and in many cases exported to Excel. The Share function at the top of any analysis page allows users to print a PDF report or share the link with colleagues.

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Features outlined in this document that relate to portfolio-level analysis are only available with Risk Pro.