Portfolio Risk Exposure & Factor Concentration

Vantara Asset Management • $4.1B AUM

Portfolio CVaR (95th)
9.4%
+1.4% vs. budget (8.0%)
Concentration HHI
0.087
-0.012 vs. prior month
Hedge Effectiveness (HER)
0.73
+0.15 post-restructure
Beta-Adj Net Equity Exp
0.47
Above IC limit (0.40)
Liquidity-Adj VaR (LVaR)
7.2%
90% within 3-day horizon
Risk Budget Utilization
88%
7.0% / 8.0% budget

Factor Loading Across Risk Clusters

Red line = IC-approved limits. Equity factor currently exceeds threshold.

CVaR & Risk Budget Trend (6 Months)

Strategy Allocation

Hedge Effectiveness Ratio (HER) — 12 Months

Rate hedge restructured in Aug after yield spike caused HER to drop to 0.58.

Volatility Regime: Realized vs. Implied

Crowding Score vs. Factor Loading (Top 20 Positions)

Bubble size = NAV weight. High crowding + high factor loading = elevated liquidation risk.
Tail Correlation (Crisis β)
0.68
Max Drawdown (TTM)
-8.3%
Avg Position Liquidity (Days)
2.4

Position-Level Risk Analysis (Top 20)

Ticker Strategy NAV Wt% Factor Load Crowding Liquidity (Days) CVaR Contrib%

Risk Budget by Strategy Sleeve

Risk Alerts & Breaches

CVaR Breach
Portfolio CVaR at 9.4% exceeds IC limit of 8.0%. Reduce equity long exposure by 200 bps.
Triggered: Dec 28, 2024
Equity Factor Limit
Beta-adj equity exposure at 0.47 vs. limit 0.40. Technology names driving concentration.
Triggered: Dec 20, 2024
HER Improvement
Rate hedge restructure successful. HER recovered from 0.58 to 0.73 post-10Y spike.
Resolved: Dec 15, 2024