Investment Risk Surface — Nicholas Hidalgo

Portfolio

Benchmark: BENCH_SPY As of 2026-05-01

dbt tests passing

Asset Allocation

Asset Class Breakdown

Equity vs. fixed income split at current NAV

Credit Exposure

Fixed Income by Rating Bucket

Percent of fixed income NAV by credit quality

Sector Concentration

Sector Allocation — Top 10

GICS-aligned sector weights as a percent of total NAV

Scenario Analysis

Stress Scenario Impact

Single-factor linear shocks applied to current positions

Scenario	Factor	Shock	MV Delta ($)	MV Delta (%)

Limit Monitoring

Concentration Breaches >5% NAV

Positions above the 5% soft watch threshold (hard cap 8%)

Ticker	Weight %	Over 5% by

Data Integrity

Reconciliation Gate Status

Four automated gates validate position integrity, price coverage, freshness, and rating completeness

Analytical Contract

Methodology and Assumptions

Known simplifications and their operational impact on reported risk measures

VaR: Parametric variance-covariance with zero cross-asset correlation. Normal distribution assumption understates tail risk. Production equivalent uses full covariance matrix and fat-tail (t-distribution) models.
Tracking Error: Ex-post realized using static current weights applied to full history. Overstates weight stability and ignores rebalancing. Not a forward-looking risk estimate.
Stress Scenarios: Single-factor linear shocks only. Ignores cross-asset contagion, correlation breakdown, and non-linear payoffs common in real stress events.
Duration: Synthetic bucket assignment (0-2y = 1.5, 2-5y = 3.5, 5-10y = 6.5, 10y+ = 12.0). Ignores coupon structure, convexity, and cash-flow timing.
Concentration: Single-dimension weight by market value. No sector, country, counterparty, or currency netting applied.
Credit: Fully synthetic bond prices and ratings. No market price discovery or liquidity risk reflected in valuations.

Pipeline

dbt 1.x → PostgreSQL 16 → 7 risk marts + 4 recon gates → static snapshot. 108 dbt tests passing as of 2026-05-01.