Given the S&P 500 Index were to dive 5% your portfolio could decrease 0.03%, amplified by your positions in Anadarko Petroleum Corp and Fedex Corp. This is offset by anticipated gains in Frontier Communications Corp and the Health Care Sector.
The largest issuer loss came from Fedex Corp which fell by 0.68% (129% of the total change in the portfolio). The next greatest was Analog Devices Inc (0.08% decrease). The biggest rising issuer came from Amgen Inc in your Health Care holdings which increased by 0.08%. This was followed by Frontier Communications Corp which gained 0.07%.
We assumed a 5% conditional shock to the value of the S&P 500 Index over a one day time horizon.
Equities: The majority of equity indices went down. A decrease of about 5% was seen on European indices, whereas a drop closer to 4% was observed on the South American ones.
Rates: In general, USD rates decreased across main tenors by approximately 8%. No other interest rates were considered as this was an all US portfolio.
Spreads: In general, spreads across sectors widened. The largest widening happened in the Benchmark sector, while spreads were observed to decrease in the Capital Goods sector.
Forex: The majority of currencies saw falls under this scenario with BRL, GBP and RUB showing the biggest downward changes.
Using the statistics we calculated, changes in indices and interest rates are on average positively correlated while credit spreads show no significant correlation to the S&P 500 Index. Of the indices changes, the European and U.K. regions have strong positive correlations.
|Company||Quantity||Price||Value ($)||Weight (%)||P&L ($)|
JPY/USD FX Rate
Understanding this report: The tables and narrative above describe the impact to the value of your portfolio of the conditional market scenario you defined.
Quantity: The quantity of your holding of that instrument.
Price: The market price of that instrument at the simulation date.
Value:: The market value of the portfolio or sub-portfolio at the simulation date.
Weight: The percentage weight of the position relative to the total portfolio based on the market to market value.
P&L ($):The change in Value of the portfolio or sub-portfolio under the conditional scenario.
P&L (%):The change in Value of the portfolio or sub-portfolio as a percentage of its value.
P&L (% of total change):The percentage change in value of the position or sub-portfolio relative to the change in value of the portfolio.
Shift (%):The percentage change in value of the risk factor. (All Market Changes are described as shifts not absolute changes.)