Portfolio review
The Portfolio's findings in sentences — strengths, risks and suggestions — each tied to the number and threshold that produced it.
Inputs
- Risks. Effective holdings below 8 (critical below 4); a position of 20% or more (critical from 35%); average correlation of 0.6 or more; Sharpe below 0.4; beta above 1.25; volatility of 30% or more; maximum drawdown of −35% or worse; holdings with debt/equity above 200.
- Strengths. Sharpe of 1.0 or more; alpha above 1 point; 10 or more effective holdings; average correlation below 0.35; an average quality score of 65 or more; downside capture below 90%.
How to read it
Critical is reserved for what can genuinely end a portfolio — single-name concentration, no diversification — then warnings and notes.
How to use it
A checklist of what to look at. Every sentence quotes its own metric, so you can disagree with the threshold rather than with an opinion.
Limitations
Rule-based, not a model: it describes the portfolio's shape and never recommends a security.
In Kereon
Portfolio · Review. Rules over the same statistics the other views show.
Also called: review, findings, strengths, risks, suggestions.