FAQ: Homepage

Written by Anna German
Updated over a week ago

Rev. Date June 13, 2019

What can I find on my [TEST] homepage?

Users can find various portfolio metrics on the homepage, including:

AltCast Estimated Performance
Top and Bottom 5 Investments
Factor Performance History
Latest Activity

Please find more information below.

What is AltCast?

Understanding current performance is important for reporting, stakeholder communication, market analysis, and many other reasons. Because returns are often only available on a delayed basis, understanding current performance can be challenging. Answering the basic question of “How is my portfolio doing?” should not be so hard. AltCast helps users meet this challenge by providing current portfolio and investment performance estimates before actual returns are available.

What is displayed in the AltCast Estimated Performance graph?

The AltCast Estimated Performance graph can show various pieces of information for your master portfolio (as selected in Portfolio Settings), depending on how up-to-date your organization’s data is in [TEST]:

Pro forma portfolio returns (solid line without error bands). These use the returns provided for your organization’s portfolio.
Estimated portfolio performance (dotted line with error bands)
Benchmark returns (if a benchmark has been selected for the master portfolio)

How does AltCast estimate performance?

AltCast uses your portfolio’s factor exposures and the factor returns to estimate your portfolio’s current performance. The AltCast methodology includes:

Finding the most recent date where your organization has provided [TEST] with portfolio data
Using the last 3 years of monthly or daily data[1] prior to that date to estimate the portfolio’s factor exposures and residual return using the Two Sigma Factor Lens
Producing an AltCast performance estimate by multiplying these factor exposures by the daily factor returns and by adding the residual return (which is held constant over the estimation period)

Can you provide an illustrative example of how AltCast works?

What do the error bands in the performance chart represent?

AltCast performance estimates are estimates only and carry many uncertainties, which the error bands attempt to quantify. Uncertainties include errors in estimating factor exposures and the volatility of the residual return.

Portfolios with small or less volatile residual returns will generally have smaller error bands.

What are some key inputs for the error band calculations?

The error bands reflect the volatility of the residual return and the covariance of factor returns over the estimation period. Please note that actual returns may be beyond the ranges reflected by the error bands.

How far out can AltCast estimate portfolio returns?

AltCast can estimate portfolio performance for up to 6 months.

When will AltCast be most accurate?

AltCast tends to be more accurate when portfolio returns are up-to-date in [TEST]. This can allow for a more accurate estimation of the portfolio’s current factor exposures. Additionally, portfolios with small or less volatile residual returns can often have more accurate AltCast estimates. This is because more of the portfolio’s risk and return may be captured by factors in these instances. Finally, AltCast assumes no portfolio rebalancing over the estimate period.

Why is AltCast not estimating performance for my organization’s portfolio?

There are multiple reasons why AltCast may not be estimating performance for a portfolio. First, the portfolio may not have enough of a return history for AltCast to estimate factor exposures. [TEST] requires at least 3 years of monthly or daily data.[2] Second, the residual risk of your portfolio may be too high to provide a reasonable AltCast estimate.

What are Top and Bottom 5 Investments?

The table below the AltCast Estimated Performance line graph provides a list of the top and bottom performing investments in your portfolio over various time periods. Using the methodology described above, AltCast can estimate performance of an investment where investment return data is not up-to-date. These AltCast estimates will be represented in blue with the respective error bands to the right.

What is Factor Performance History?

The Factor Performance History table provides the recent returns of the factors over various time periods, your organization’s long-term forecasted returns for each factor, and the portfolio’s starting exposures that are used to construct the portfolio’s AltCast performance estimate.

What is Latest Activity?

The Latest Activity tables show recently added investments and recently updated portfolios by you or others in your organization. Clicking on an investment or portfolio will bring you to its respective tearsheet or performance analysis page.

[TEST] will update the homepage periodically with various other metrics and analytics [TEST] hopes are useful to users.

[1] The minimum amount of data required depends on data frequency. For example, if a user’s portfolio or investment has quarterly data, [TEST] requires 9 years (or 36 data points) to run analysis.

[2] The minimum amount of data required depends on data frequency. For example, if a user’s portfolio or investment has quarterly data, [TEST] requires 9 years (or 36 data points) to run analysis.

This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.