Predicted tracking error0.42%Local reference estimate
Reference risk review
RISK & CONSTRAINTS
Understand the exposures and guardrails shaping every optimized decision.
ReferenceReference risk modelLocal guardrail evaluation
Portfolio beta1.01Reference exposure
Active share18.7%Reference portfolio
Factor breaches0No draft breaches
Active constraints6Locally evaluated
Reference factor comparison
FACTOR EXPOSURE MONITOR
PortfolioBenchmarkTarget
SizePortfolio −0.44%Benchmark −0.25%Target 0.00%Reference scenario
| Factor | Portfolio exposure | Benchmark exposure | Target exposure |
|---|---|---|---|
| Size | −0.44% | −0.25% | 0.00% |
| Value | +0.36% | +0.12% | 0.00% |
| Momentum | +0.64% | +0.30% | 0.00% |
| Quality | +0.38% | +0.22% | 0.00% |
| Low Volatility | −0.32% | +0.08% | 0.00% |
| Growth | +0.28% | +0.34% | 0.00% |
Local draft guardrails
Changes evaluate locallyRISK GUARDRAILS
Factor neutralityWithin ±0.25 reference threshold
Industry neutralityWithin ±3.00% reference threshold
All constraints satisfiedReference local evaluation
Reference tracking error
Ranked active TERISK CONTRIBUTORS
RankSectorActive TE% total
1Information Technology9.8 bps23.1%
2Financials6.6 bps15.6%
3Health Care5.1 bps12.0%
4Consumer Discretionary4.7 bps11.1%
5Industrials3.6 bps8.5%
Total predicted tracking error42.4 bps100.0%
Reference scenarios
Relative to benchmarkSTRESS TESTS
ScenarioDescriptionImpactRelative
Rate shock+100 bps parallel rate increase-18.3 bps-0.18%
Tech drawdown−20% in Tech sector-27.6 bps-0.28%
Recession−1% GDP growth shock-35.7 bps-0.36%
Broad rally+10% market rally22.4 bps0.22%
Illustrative draft evaluation
CONSTRAINT STATUS
Tracking-error cap0.42% / 0.50%
Sector deviation1.18% / 3.00%
Single-name max3.21% / 5.00%
Beta range1.01 / 0.80 – 1.20
Factor neutralityWithin ±0.18 / Within ±0.25
Industry neutrality1.42% / Within ±3.00%
All constraints satisfiedPortfolio is within all defined draft guardrails.