FACTOR RISK AND VOLATILITY
The Factor Risk and Volatility report is a textual and graphical review of the portfolio, identifying concentrations and exposures to the various factors that PIQ uses to forecast risk. This is a simple report with very powerful and important information. The Volatility factors are reported along with the averages for these factors for the entire market. The forecast for volatility is presented as a market relative expectation. In the example, the portfolio is forecasted to provide approximately 6% less volatility than the market. Generally speaking this indicates slightly below a market level of risk.
The report also identifies in text other items of risk related data resulting in a more complete profile of the portfolio’s holdings.