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Portfolio "Risk X-RAY" analysis ?
Old 02-04-2006, 10:29 AM   #1
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Portfolio "Risk X-RAY" analysis ?

I am trying to analyze my entire portio's correlation to US stock market movement.

I can get R-squared values for individual stocks' performance against US market - etc.

Is there anything like M*'s "X-RAY" which would allow you to enter your funds and percentages - and calculate a weighted correlation factor to the US stock market ?

I'm reading Swenson's book "Unconventional Success" (Yale endowment manager) - he keeps taking about the value of a "highly uncorrelated, equity oriented portfolio".

Would love to know my overall portfolio's statistical correlation to US stock market - for example, if (when !) the Dow falls 25% - what would the impact be on my overall portfolio.

Thanks ! Delawaredave

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Re: Portfolio "Risk X-RAY" analysis ?
Old 02-04-2006, 11:40 AM   #2
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Re: Portfolio "Risk X-RAY" analysis ?

My broker gave me such an analysis for free.* He used a Morningstar tool.* It looks like,00.html
describes the tool.* Link says "Free trial", but ....
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Re: Portfolio "Risk X-RAY" analysis ?
Old 02-04-2006, 12:53 PM   #3
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Re: Portfolio "Risk X-RAY" analysis ?

You might try
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Re: Portfolio "Risk X-RAY" analysis ?
Old 02-04-2006, 08:03 PM   #4
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Re: Portfolio "Risk X-RAY" analysis ?

Thanks very much for above posts.

I have M* premium - but my Xray doesn't have the R-squared analysis that your link did (at least I coudn't find it).

The RiskGrades is neat - I've got to put more time into it to understand it.....
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Re: Portfolio "Risk X-RAY" analysis ?
Old 02-04-2006, 09:23 PM   #5
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Re: Portfolio "Risk X-RAY" analysis ?

An issue worth consideration is that many funds only report at quarter end what they hold at that time, and some portion of that is "window dressing". Therefore the data you're compositing, even with a good composition tool, may or may not be very accurate.

I used to have this bee in my bonnet when I was a working lad about making decisions on data that wasnt necessarily accurate. I suppose you might get a pretty good look if your funds have low turnover and you run the analysis right after they release the data. Towards the end of the quarter with high turnover funds, I wouldnt make any sorts of decisions or draw any conclusions from an 'x-ray'.
Be fearful when others are greedy, and greedy when others are fearful. Just another form of "buy low, sell high" for those who have trouble with things. This rule is not universal. Do not buy a 1973 Pinto because everyone else is afraid of it.
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