Portfolio Risk Management
Stress-test funds and broker baskets.
Portfolio Overview 33 items
FundPIDIndexPMFreq
VOOWW32S&P 500 IndexWalter NejmanQuarterly
AA47FTSE Developed ex Australia Ch…Scott E. GeigerQuarterly
NT93MSCI World ex AU IndexRoshan NandwaniQuarterly
NV94MSCI World Ex AU Hedged AUD Ne…Chad SumpterQuarterly
NX13MSCI World ex Au ex Tob ex CW …Nilakshi MukerjeeQuarterly
DK43CRSP Total Market IndexRoss HowellQuarterly
CS28FTSE Canada All Cap Domestic I…Ian Robert CampbellQuarterly
CS56FTSE Developed All Cap ex-US I…Aurelie DenisQuarterly
QD16FTSE Emerging All Cap China A …John A KraynakQuarterly
DG34FTSE Developed ex North Americ…Nicole BrubakerQuarterly
DI62FTSE Developed Asia Pacific Al…Jordan ParkerQuarterly
ZI85FTSE Developed Europe All Cap …Dylan KingQuarterly
GF46FTSE Canada Domestic IndexMarija JanchovskiQuarterly
WA25FTSE Canada All Cap Real Es…David DeweesQuarterly
IT41FTSE Canada High Dividend …Mariia JanchovskiQuarterly
VV59FTSE Developed IndexWalter NejmanQuarterly
VCNBJ37MSCI AC World IndexScott E. GeigerQuarterly
VDUBQ51MSCI World ex US IndexRoshan NandwaniQuarterly
VEEZR79Russell 1000 Value IndexChad SumpterQuarterly
VIUBS72FTSE Emerging Markets IndexNilakshi MukerjeeQuarterly
VAAN99S&P 500 IndexRoss HowellQuarterly
VENJ37FTSE Developed ex Australia Ch…Ian Robert CampbellQuarterly
VIDYKY56MSCI World ex AU IndexAurelie DenisQuarterly
VFVRC18MSCI World Ex AU Hedged AUD Ne…John A KraynakQuarterly
VUNAK41MSCI World ex Au ex Tob ex CW …Nicole BrubakerQuarterly
VGGLE73CRSP Total Market IndexJordan ParkerQuarterly
VXCVT46FTSE Canada All Cap Domestic I…Dylan KingQuarterly
VCEHC62FTSE Developed All Cap ex-US I…Marija JanchovskiQuarterly
VREPH27FTSE Emerging All Cap China A …David DeweesQuarterly
VDYSQ15FTSE Developed ex North Americ…Mariia JanchovskiQuarterly
IK76FTSE Developed Asia Pacific Al…Walter NejmanYearly
YN78FTSE Developed Europe All Cap …Scott E. GeigerQuarterly
YS99FTSE Canada Domestic IndexRoshan NandwaniQuarterly
TickerShares (k)Ntnl ($m)WeightADVSectorERNMomentumValue
A133.424.270.065335121MInformation TechnologyN/A0.633-0.493
AAPL385.9127.820.026350826MHealth CareN/A1.8000.439
ABBV145.969.130.04894063MFinancialsN/A1.5970.464
ABNB346.649.730.016437818MConsumer DiscretionaryN/A1.3570.248
ABT321.387.80.022175738MCommunication ServicesN/A-1.5860.459
ACGL203.580.690.019487730MIndustrialsN/A-1.901-0.239
ACN126.45.90.031707011MConsumer StaplesN/A1.7480.824
ADBE223.435.060.012167246MEnergyN/A-1.3070.312
ADI227.859.40.05420143MUtilitiesN/A-1.7320.892
ADM272.9161.420.041143049MMaterialsN/A1.806-0.768
ADP92.162.860.066325450MReal EstateN/A-1.360-0.002
ADSK218.714.60.013081822MInformation TechnologyN/A-1.896-0.144
AEE386.1145.930.044745633MHealth CareN/A1.530-0.526
AEP327.5147.180.044650249MFinancialsN/A-1.747-0.483
AES176.490.70.036128937MConsumer DiscretionaryN/A1.6060.654
AFL65.970.042514913MCommunication ServicesN/A0.921-0.451
AIG129.620.490.017141745MIndustrialsN/A1.5330.870
AIZ100.620.490.053342648MConsumer StaplesN/A0.775-0.716
AJG112.453.520.034450939MEnergyN/A-0.021-0.543
AKAM298.3151.690.053799936MUtilitiesN/A0.4800.057
ALB391.6209.320.06472304MMaterialsN/A-0.390-0.252
ALGN125.610.980.020553511MReal EstateN/A-1.296-0.801
ALL33.73.390.014624723MInformation TechnologyN/A-0.907-0.924
AMAT249.226.70.00027017MHealth CareN/A-1.8880.046
AMD105.535.920.000822829MFinancialsN/A1.0950.774
AMGN135.845.390.03961636MConsumer DiscretionaryN/A1.373-0.071
AMP73.523.630.06998385MCommunication ServicesN/A0.2810.176
AMT5227.830.045258742MIndustrialsN/A-0.8480.183
AMZN204.5104.230.058774435MConsumer StaplesN/A-0.6800.615
ANET264.5126.240.063864249MEnergyN/A-1.8830.140
ANSS365.2245.350.013861452MUtilitiesN/A0.877-0.575
AON239.9150.350.00209939MMaterialsN/A0.933-0.865
AOS22.112.70.051911339MReal EstateN/A-0.381-0.062
APA24512.260.04663077MInformation TechnologyN/A-1.7320.500
APD242165.850.009590830MHealth CareN/A-1.787-0.512
APH146.489.910.034125024MFinancialsN/A0.788-0.431
APTV91.56.40.00356668MConsumer DiscretionaryN/A-0.675-0.592
ARE210.7144.510.011249046MCommunication ServicesN/A-0.841-0.326
ATO237.3141.250.01050546MIndustrialsN/A1.623-0.967
AVB304.79.560.02466924MConsumer StaplesN/A0.0500.150
AVGO146.191.740.00707388MEnergyN/A-0.227-0.306
AVY295152.710.051052533MUtilitiesN/A-1.8750.330
AXP84.553.650.039938547MMaterialsN/A0.4410.725
AZO48.224.650.067065316MReal EstateN/A0.053-0.453
BA319.3121.960.01576626MInformation TechnologyN/A-1.706-0.539
BAC231.1110.760.049374535MHealth CareN/A0.499-0.866
BAX316.9106.770.051223520MFinancialsN/A-0.001-0.767
BBY310.258.30.044646625MConsumer DiscretionaryN/A-1.8700.425
BDX344.291.510.052977120MCommunication ServicesN/A0.223-0.624
BEN152.315.830.029548419MIndustrialsN/A-0.3870.753
Fund
VOO
as of 2026-06-16
Total Risk
11.75%
annualized σ
Factor Risk
9.19%
systematic
Specific Risk
7.32%
idiosyncratic
Beta
1.14
vs benchmark
1-Day VaR
19.33%
95% conf.
Holdings
63
63L · 0S
Gross Notional
$4954.5M
Net $4954.5M
Top Sector
Utilities
16.0% concentration
Conditional Average Portfolio Returns
%
| Spot Up | Spot Down | Vol Up | Vol Down | Spot Up & Vol Down | Spot Down & Vol Up | Max Draw Down | Max Return | |
|---|---|---|---|---|---|---|---|---|
| Portfolio Returns | 5.19% | -4.64% | -2.36% | 2.24% | 5.25% | -4.67% | -13.22% | 13.24% |
| Event: 2020-03-16: COVID-19 | Event: 2008-10-13 |
Default: Spot Var 3% | Vol Var 2
AI Suggested Stress Tests— blind-spot scenarios for VOODiversified
Analyzing basket composition…
Holdings Risk Decomposition
63 of 63
| ADP | Real Estate | 6.633% | 62.86 | 1.67 | 1.99 | 13.23 | -1.36 |
| AMP | Communication Services | 6.998% | 23.63 | 1.42 | 1.79 | 12.52 | +0.28 |
| AZO | Real Estate | 6.707% | 24.65 | 1.43 | 1.73 | 11.58 | +0.05 |
| A | Information Technology | 6.534% | 24.27 | 1.18 | 1.39 | 9.07 | +0.63 |
| BF.B | Consumer Staples | 6.769% | 170.22 | 1.09 | 1.33 | 8.99 | +1.63 |
| ANET | Energy | 6.386% | 126.24 | 1.14 | 1.31 | 8.37 | -1.88 |
| BDX | Communication Services | 5.298% | 91.51 | 1.63 | 1.55 | 8.23 | +0.22 |
| BR | Consumer Discretionary | 6.952% | 117.65 | 0.88 | 1.10 | 7.65 | +0.45 |
| ALB | Materials | 6.472% | 209.32 | 0.96 | 1.12 | 7.24 | -0.39 |
| AIZ | Consumer Staples | 5.334% | 20.49 | 1.28 | 1.23 | 6.56 | +0.78 |
| BIIB | Energy | 5.075% | 16.71 | 1.35 | 1.23 | 6.26 | -0.39 |
| AMT | Industrials | 4.526% | 27.83 | 1.68 | 1.37 | 6.20 | -0.85 |
| ADI | Utilities | 5.420% | 59.40 | 1.15 | 1.12 | 6.08 | -1.73 |
| AMZN | Consumer Staples | 5.877% | 104.23 | 0.88 | 0.93 | 5.47 | -0.68 |
| BAX | Financials | 5.122% | 106.77 | 1.11 | 1.02 | 5.24 | -0.00 |
| BBY | Consumer Discretionary | 4.465% | 58.30 | 1.37 | 1.10 | 4.92 | -1.87 |
| AEP | Financials | 4.465% | 147.18 | 1.35 | 1.08 | 4.84 | -1.75 |
| ADM | Materials | 4.114% | 161.42 | 1.41 | 1.04 | 4.30 | +1.81 |
| AVY | Utilities | 5.105% | 152.71 | 0.91 | 0.84 | 4.27 | -1.88 |
| APA | Information Technology | 4.663% | 12.26 | 1.04 | 0.87 | 4.07 | -1.73 |
| AEE | Health Care | 4.475% | 145.93 | 1.09 | 0.88 | 3.93 | +1.53 |
| AKAM | Utilities | 5.380% | 151.69 | 0.75 | 0.73 | 3.91 | +0.48 |
| AOS | Real Estate | 5.191% | 12.70 | 0.78 | 0.73 | 3.78 | -0.38 |
| AES | Consumer Discretionary | 3.613% | 90.70 | 1.61 | 1.05 | 3.78 | +1.61 |
| BAC | Health Care | 4.937% | 110.76 | 0.85 | 0.76 | 3.73 | +0.50 |
| AMGN | Consumer Discretionary | 3.962% | 45.39 | 1.20 | 0.86 | 3.39 | +1.37 |
| BKNG | Real Estate | 4.268% | 25.68 | 1.03 | 0.79 | 3.38 | -1.33 |
| BKR | Information Technology | 3.870% | 20.07 | 1.25 | 0.87 | 3.37 | +1.84 |
| AXP | Materials | 3.994% | 53.65 | 1.17 | 0.84 | 3.36 | +0.44 |
| AJG | Energy | 3.445% | 53.52 | 1.54 | 0.95 | 3.29 | -0.02 |
| APH | Financials | 3.413% | 89.91 | 1.56 | 0.96 | 3.27 | +0.79 |
| ABBV | Financials | 4.894% | 69.13 | 0.73 | 0.64 | 3.15 | +1.60 |
| AFL | Communication Services | 4.251% | 7.00 | 0.76 | 0.58 | 2.47 | +0.92 |
| BRK.B | Communication Services | 3.183% | 77.79 | 1.27 | 0.73 | 2.32 | -1.86 |
| AAPL | Health Care | 2.635% | 127.82 | 1.57 | 0.74 | 1.96 | +1.80 |
| BLK | Health Care | 2.629% | 54.48 | 1.51 | 0.71 | 1.88 | -0.36 |
| AVB | Consumer Staples | 2.467% | 9.56 | 1.49 | 0.66 | 1.63 | +0.05 |
| BWA | Energy | 3.155% | 73.03 | 0.87 | 0.49 | 1.56 | +0.31 |
| BEN | Industrials | 2.955% | 15.83 | 0.79 | 0.42 | 1.24 | -0.39 |
| ACN | Consumer Staples | 3.171% | 5.90 | 0.63 | 0.36 | 1.14 | +1.75 |
| ABT | Communication Services | 2.218% | 87.80 | 1.21 | 0.48 | 1.07 | -1.59 |
| ACGL | Industrials | 1.949% | 80.69 | 1.51 | 0.53 | 1.03 | -1.90 |
| BMY | Financials | 2.879% | 56.57 | 0.67 | 0.35 | 1.00 | +1.40 |
| ALGN | Real Estate | 2.055% | 10.98 | 1.27 | 0.47 | 0.97 | -1.30 |
| BA | Information Technology | 1.577% | 121.96 | 1.65 | 0.47 | 0.74 | -1.71 |
| BSX | Consumer Staples | 2.451% | 248.37 | 0.61 | 0.27 | 0.66 | -1.27 |
| ALL | Information Technology | 1.462% | 3.39 | 1.48 | 0.39 | 0.57 | -0.91 |
| AIG | Industrials | 1.714% | 20.49 | 1.02 | 0.32 | 0.54 | +1.53 |
| ANSS | Utilities | 1.386% | 245.35 | 1.40 | 0.35 | 0.48 | +0.88 |
| ABNB | Consumer Discretionary | 1.644% | 49.73 | 0.99 | 0.29 | 0.48 | +1.36 |
| BK | Materials | 1.491% | 62.40 | 0.69 | 0.18 | 0.28 | +0.80 |
| ADSK | Information Technology | 1.308% | 14.60 | 0.87 | 0.20 | 0.27 | -1.90 |
| ADBE | Energy | 1.217% | 35.06 | 0.93 | 0.20 | 0.25 | -1.31 |
| ATO | Industrials | 1.051% | 141.25 | 1.24 | 0.23 | 0.25 | +1.62 |
| ARE | Communication Services | 1.125% | 144.51 | 0.98 | 0.20 | 0.22 | -0.84 |
| APD | Health Care | 0.959% | 165.85 | 1.30 | 0.22 | 0.21 | -1.79 |
| BRO | Industrials | 0.905% | 14.53 | 1.45 | 0.24 | 0.21 | -0.21 |
| AVGO | Energy | 0.707% | 91.74 | 0.70 | 0.09 | 0.06 | -0.23 |
| APTV | Consumer Discretionary | 0.357% | 6.40 | 0.76 | 0.05 | 0.02 | -0.68 |
| AON | Materials | 0.210% | 150.35 | 1.62 | 0.06 | 0.01 | +0.93 |
| BIO | Utilities | 0.204% | 181.68 | 1.57 | 0.06 | 0.01 | -1.11 |
| AMD | Financials | 0.082% | 35.92 | 0.90 | 0.01 | 0.00 | +1.09 |
| AMAT | Health Care | 0.027% | 26.70 | 0.69 | 0.00 | 0.00 | -1.89 |
| Top 25 contribute | 77.8% | ||||||
Historical Parameters
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Simulated Parameters
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Last Business Day Factor Contribution2026-06-16
81/81 factors
81 factors
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