Help & Knowledge Base

The annualized return the portfolio is expected to generate based on current Capital Market Assumptions and asset class weights.

A 5.4% expected return on $10M means ~$540,000 expected annually.

The annualized standard deviation of portfolio returns. Measures how much returns are expected to vary. Lower is more stable.

A 10% risk means returns typically fall within ±10% of the expected return in 68% of years.

Risk-adjusted return. Shows how much return you earn per unit of risk taken. Higher is better. Above 0.5 is considered good for a diversified portfolio.

Sharpe of 0.47 means you earn 0.47% of return for every 1% of risk.

Like Sharpe but only penalizes downside volatility. More relevant for investors who care about losses more than gains.

Annual return divided by maximum drawdown. Measures how well the portfolio recovers from its worst losses.

Measures how consistently a portfolio manager generates active return relative to benchmark. Higher and more consistent is better.

How closely the portfolio follows its benchmark. Lower tracking error means closer to benchmark; higher means more active management.

Sensitivity to market movements. Beta of 1.0 moves exactly with the market. Beta of 0.7 moves 70% as much as the market.

If S&P 500 drops 10% and your beta is 0.7, expect approximately a 7% drop.

Return generated above what would be expected given the portfolio's market risk (beta). Positive alpha means the manager added value.

The largest peak-to-trough decline in portfolio value during a period. Measures the worst case loss an investor would have experienced.

-18.3% means at its worst point, the portfolio was 18.3% below its previous peak.

The income component of the portfolio — dividends plus interest payments. Calculated as the weighted average yield across all holdings.

Expected return after accounting for taxes on dividends, interest, and capital gains at the configured tax rates.

An overall 0-100 score combining six factor signals. Above 65 is favorable (consider overweighting). Below 50 is unfavorable (consider underweighting).

80+ = Strong Favorable, 65-79 = Favorable, 50-64 = Neutral, 35-49 = Below Neutral, 0-34 = Unfavorable

Measures recent price performance relative to other asset classes. High momentum (>65) means this asset class has been outperforming peers recently.

Measures whether price is above or below key moving averages (50, 100, 200-day). Above 200-day MA is positive; below is negative.

Score 78 means price is well above the 200-day moving average — bullish trend.

Measures whether the asset class is cheap or expensive relative to history. Higher score means more attractive valuation (cheaper).

Score 45 means the asset class is slightly expensive relative to historical average P/E.

Measures how supportive the current macroeconomic environment (GDP, inflation, rates, employment) is for this asset class.

Measures how well this asset class historically performs in the CURRENT market regime (Bull/Bear/Recovery/Stagflation).

Score 75 means this asset class has historically outperformed during Bull markets.

Contrarian measure based on investor sentiment indicators (AAII survey, put/call ratio, fund flows). Extreme pessimism can be a buy signal.

The difference between portfolio return and benchmark return. Positive means the portfolio outperformed the benchmark.

+0.21% means the portfolio earned 21 basis points more than holding benchmark weights.

The value added (or lost) by overweighting or underweighting asset classes vs the benchmark. Positive means the weighting decisions were correct.

+0.371% means the tactical allocation decisions added 37 basis points of value.

The value added (or lost) by choosing better (or worse) funds/vehicles than the asset class benchmark. Positive means the fund choices were correct.

-0.834% means the chosen funds underperformed their asset class benchmarks by 83 basis points.

The combined impact of being overweight in an asset class where selection was also good (or bad). Often small but can compound allocation and selection effects.

How much more or less you hold vs the benchmark. Positive = overweight (holding more than benchmark). Negative = underweight.

+13.22% in Large Cap means you hold 13.22 percentage points more than the benchmark weight.

How much this asset class returned above or below its own benchmark. Shows whether the specific funds chosen added value.

+2.77% in Private Equity means the PE fund returned 2.77% more than the PE benchmark.

The maximum expected loss on 95% of trading days. On 5% of days (about 12 days per year), losses could exceed this amount.

-$65,000 VaR means on a typical bad day there is a 95% chance losses will not exceed $65,000.

A more conservative risk measure. The maximum expected loss on 99% of days. On 1% of days (about 2-3 days per year), losses could exceed this.

The average loss on the worst days beyond the VaR threshold. More conservative than VaR because it measures the severity of tail losses.

How closely two asset classes move together. +1.0 = perfectly together. 0 = no relationship. -1.0 = perfectly opposite. Lower correlation = better diversification.

US Large Cap / US Mid Cap: 0.90 — very high correlation, similar behavior.

The industry standard method for decomposing active portfolio returns into Allocation Effect, Selection Effect, and Interaction Effect.

The current macroeconomic environment classified into Bull Market, Bear Market, Recovery, Stagflation, or Low Growth. Different regimes favor different asset classes.

How certain the model is about the current regime classification. 78% means the model is fairly confident but acknowledges 22% chance of misclassification.

The estimated probability of moving to a different market regime in the next 30 days based on current economic indicators.

The percentage of Monte Carlo simulations where the portfolio did not run out of money before the end of the time horizon. Higher is better.

100% means in all 1,000 simulations, the portfolio survived the full time period with the given spending rate.

Annual withdrawals from the portfolio as a percentage of portfolio value. Higher spending rates reduce the probability of success.

4% spending on $10M = $400,000 per year withdrawn.

Shows the range of possible portfolio values over time across all Monte Carlo simulations. Wider bands mean more uncertainty.

The estimated probability (0-100) that a proposed allocation change will generate positive alpha vs holding neutral weights. Based on 11 factors including signals, regime, valuation, and historical decision quality.

83/100 means the model estimates an 83% probability this change will add value.

Does the current composite signal score support this proposed change? High score when signals agree with direction of proposed change.

How has this specific type of change historically performed in the current market regime? Based on ISC decision history in Bull/Bear/Recovery markets.

Our own track record making similar decisions on this asset class. Based on win rate of past ISC decisions.

The formal document defining the rules for how the portfolio may be managed — including minimum and maximum weights for each asset class and category.

The minimum and maximum allocation allowed for this asset class per the Investment Policy Statement. Breaching these ranges triggers a compliance exception.

An overall 0-100 score measuring adherence to investment policies, approval processes, and governance requirements. Above 80 is considered good.

A formal record of a policy deviation that requires review and resolution by the compliance officer. Does not necessarily mean a breach occurred — exceptions can be pre-approved.

An expedited approval process for small, high-confidence changes that meet all eligibility criteria. Requires only 1 approver and has a 24-hour deadline vs the standard 3-day process.

A pre-approved rule that automatically implements a specific action when a defined trigger condition is met — without requiring a new approval each time.

If any asset class drifts 3% from target, automatically rebalance.

The proposing member's confidence in the investment thesis. High = strong evidence and conviction. Medium = reasonable case. Low = speculative or early stage.

Long-term forecasts for each asset class's expected return, risk (volatility), and yield. These assumptions drive all portfolio calculations.

Volatility adjusted for the smoothing effect of tax payments. Generally lower than pre-tax volatility because taxes reduce the magnitude of gains and losses.

How frequently the holdings within an asset class are bought and sold. Higher turnover generates more short-term capital gains, increasing tax drag.

The portion of the asset class yield that is subject to income or dividend taxes. 100% means fully taxable; 0% means tax-exempt (e.g. municipal bonds).

The current actual allocation in the portfolio — potentially different from the neutral/strategic weight due to ISC allocation decisions.

The strategic long-term target allocation for this asset class before any tactical tilts are applied. The benchmark for measuring active positioning.

The difference between tactical and neutral weights. Positive = overweight (holding more than strategic target). Negative = underweight.

A portfolio consisting of equities and fixed income only. No alternative investments. Simpler but potentially less diversified.

Adds alternative investments (hedge funds, absolute return) to the traditional mix. Better diversification with some illiquidity.

The broadest diversification including equities, fixed income, alternatives, private equity, real assets, and commodities. Maximum diversification benefit.

The cumulative gain or loss over the entire backtest period, including reinvested income. Not annualized.

+82.4% means $10M grew to $18.24M over the full period.

The compound annual growth rate — the steady yearly return that would produce the same cumulative result. Lets you compare periods of different lengths.

The percentage of periods (months) with a positive return. Higher means more consistent gains, though it says nothing about the size of wins vs losses.

The annualized standard deviation of returns — how much returns swing around the average. Lower volatility means a smoother ride.