Allocation and exposure overview
Weights, notionals, currencies, counterparties and liquidity categories.
Asset allocation, concentration, drawdowns, stress testing and portfolio risk analysis.
Bring allocation, exposure, liquidity and cash needs into one view. Investigate which risks are diversified, which remain shared and how the portfolio behaves when normal market relationships change.
Start with funding purpose, horizon, base currency, cash requirements and capacity for loss. Define the roles of liquid assets, derivatives and long-term private holdings. Compare withdrawal windows, capital commitments and valuation methods. Document the conditions that would prompt a reassessment of the allocation.
Review assets, sectors, regions, currencies, venues, custodians and shared risk factors. Multiple funds or tokens may depend on the same industry or platform. Derivatives require notional and sensitivity measures alongside capital invested; counting margin alone can understate exposure.
Measure a decline from an earlier portfolio peak using the chosen valuation and cash-flow convention. Illustration: a value declining from 100 to 85 has a 15% drawdown; recovering from 85 to 100 requires approximately 17.65% growth. Review depth, duration and recovery time. A historical maximum is not a future loss limit.
Compare co-movement using consistent observation windows and frequencies. Study stressed periods separately, since historical low correlation does not guarantee diversification. Infrequently valued assets can show lagged volatility. Explain the model, data and sensitivity behind risk-contribution estimates.
Test scenarios such as simultaneous equity and crypto declines, higher volatility, collateral calls, restricted withdrawals and delayed private exits. Illustration: a 30% assumed decline on a position valued at 200,000 creates a direct valuation change of minus 60,000. Portfolio results must also include other holdings, nonlinear effects, costs and cash requirements.
Present exposures, concentration, drawdowns, stress losses, available cash and data quality together. Separate price, leverage, counterparty and liquidity risks. Record dates, assumptions, valuation sources and unresolved items, with review triggers rather than an unsupported promise of protection.
Normalize values, currencies, cash flows and contract terms.
Map shared factors, notional amounts, sensitivities and exit restrictions.
Review concentration, drawdowns and joint stress cash requirements.
Record gaps, vulnerabilities and update triggers.
Weights, notionals, currencies, counterparties and liquidity categories.
Shared risks, historical losses, recovery periods and definitions.
Scenario parameters, valuation changes and collateral needs.
Outstanding evidence, breaches and alternative adjustment considerations.
Project scope, datasets, format and reporting frequency are agreed for the specific assignment.
Mechanism, cost, liquidity and risk analysis inform the understanding of these instruments. Actual arrangements require review of product terms, objectives and implementation conditions.
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