Skill: 1kalin/afrexai-portfolio-risk (version 1.0.0)

# Portfolio Risk Analyzer Complete investment portfolio risk management system. Analyze positions, calculate risk metrics, stress test scenarios, optimize allocations, and generate institutional-grade risk reports — all without external APIs. --- ## 1. Portfolio Intake When the user shares their portfolio (positions, tickers, amounts), structure it into this format: ```yaml portfolio: name: "User Portfolio" currency: USD as_of: "2026-02-15" positions: - ticker: AAPL shares: 50 avg_cost: 185.00 current_price: 228.50 # Look up via web search asset_class: US_EQUITY sector: Technology - ticker: BTC units: 0.5 avg_cost: 42000 current_price: 97500 asset_class: CRYPTO sector: Digital Assets - ticker: VOO shares: 100 avg_cost: 410.00 current_price: 535.00 asset_class: US_EQUITY_ETF sector: Broad Market cash: amount: 15000 currency: USD ``` ### Price Lookup For each position, use web search to find current price: - Search: `[TICKER] stock price today` - For crypto: `[COIN] price USD today` - Record source and timestamp ### Portfolio Summary Table | Position | Shares | Cost Basis | Current Value | Weight | P&L | P&L % | |----------|--------|-----------|---------------|--------|-----|-------| | AAPL | 50 | $9,250 | $11,425 | 18.2% | +$2,175 | +23.5% | | ... | ... | ... | ... | ... | ... | ... | | **TOTAL** | | **$XX,XXX** | **$XX,XXX** | **100%** | **±$X,XXX** | **±X.X%** | --- ## 2. Risk Metrics Calculator Calculate ALL of the following for every portfolio analysis: ### 2.1 Concentration Risk ``` Position Concentration: - Any single position >20% of portfolio = HIGH RISK ⚠️ - Any single position >10% = MODERATE RISK - Top 3 positions >50% = CONCENTRATED Sector Concentration: - Any sector >30% = OVERWEIGHT - Count unique sectors — fewer than 4 = UNDER-DIVERSIFIED Asset Class Breakdown: - Equities: X% - Fixed Income: X% - Crypto: X% - Cash: X% - Alternatives: X% ``` ### 2.2 Value at Risk (VaR) — Parametric Method Calculate the maximum expected loss at given confidence levels: ``` Daily VaR Calculation: 1. Look up each position's historical volatility (annualized) - Use web search: "[TICKER] historical volatility 30 day" - Typical ranges: Large cap stocks 15-25%, Crypto 50-80%, Bonds 5-10% 2. Convert to daily volatility: Daily Vol = Annual Vol / √252 3. Position VaR (95% confidence): Position VaR = Position Value × Daily Vol × 1.645 4. Position VaR (99% confidence): Position VaR = Position Value × Daily Vol × 2.326 5. Portfolio VaR (simplified — assumes correlation ≈ 0.5 for stocks): Portfolio VaR ≈ √(Σ(Position VaR²) + 2×0.5×Σ(VaR_i × VaR_j)) Report: - 1-Day 95% VaR: $X,XXX (X.X% of portfolio) - 1-Day 99% VaR: $X,XXX (X.X% of portfolio) - 10-Day 95% VaR: $X,XXX (= 1-Day VaR × √10) - Monthly 95% VaR: $X,XXX (= 1-Day VaR × √21) ``` ### 2.3 Maximum Drawdown Estimation ``` Based on asset class historical max drawdowns: - US Large Cap: -50% (2008-09), typical correction -20% - US Small Cap: -55%, typical correction -25% - International Equity: -55%, typical -25% - Emerging Markets: -65%, typical -30% - Investment Grade Bonds: -15%, typical -5% - High Yield Bonds: -30%, typical -10% - REITs: -70%, typical -25% - Crypto (BTC): -85%, typical -50% - Gold: -45%, typical -15% - Cash: 0% Portfolio Max Drawdown Estimate: = Σ(Position Weight × Asset Class Max Drawdown) Report: - Estimated worst-case drawdown: -$XX,XXX (XX.X%) - Estimated typical correction: -$XX,XXX (XX.X%) - Recovery time estimate: X-X months (based on historical averages) ``` ### 2.4 Beta & Market Sensitivity ``` For each equity position: - Look up beta via web search: "[TICKER] beta" - Portfolio Beta = Σ(Position Weight × Position Beta) Interpretation: - Beta > 1.2: Portfolio is AGGRESSIVE (amplifies market moves) - Beta 0.8-1.2: Portfolio is NEUTRAL - Beta < 0.8: Portfolio is DEFENSIVE - Negative beta positions: HEDGE value Market Impact: - If S&P 500 drops 10%, portfolio expected to move: Beta × -10% ``` ### 2.5 Sharpe Ratio Estimation ``` Portfolio Expected Return = Σ(Weight × Expected Return) Where Expected Return by asset class: - US Large Cap: 8-10% annually - US Small Cap: 9-11% - International Developed: 6-8% - Emerging Markets: 8-12% - Investment Grade Bonds: 4-5% - High Yield: 6-7% - Crypto: highly variable (use 0% for conservative estimate) - REITs: 7-9% - Cash: current money market rate (~4.5%) Risk-Free Rate: current 3-month T-bill rate (search if needed) Sharpe Ratio = (Portfolio Expected Return - Risk-Free Rate) / Portfolio Volatility Rating: - > 1.0: EXCELLENT risk-adjusted returns - 0.5-1.0: GOOD - 0-0.5: MEDIOCRE — consider rebalancing - < 0: POOR — return doesn't justify risk ``` ### 2.6 Income Analysis ``` For dividend-paying positions: - Look up dividend yield: "[TICKER] dividend yield" - Annual Income = Shares × Annual Dividend per Share - Portfolio Yield = Total Annual Dividends / Portfolio Value Report: - Monthly estimated income: $XXX - Annual estimated income: $X,XXX - Yield on cost: X.X% - Current yield: X.X% ``` --- ## 3. Stress Testing Run these scenarios against the portfolio and report impact: ### 3.1 Standard Scenarios ```yaml scenarios: market_crash_2008: name: "2008 Financial Crisis" impacts: US_EQUITY: -0.50 INTL_EQUITY: -0.55 EMERGING: -0.60 BONDS: +0.05 HIGH_YIELD: -0.30 REITS: -0.70 CRYPTO: -0.80 # projected based on risk profile GOLD: +0.10 CASH: 0 covid_crash_2020: name: "COVID-19 Crash (Feb-Mar 2020)" impacts: US_EQUITY: -0.34 INTL_EQUITY: -0.35 EMERGING: -0.35 BONDS: +0.03 HIGH_YIELD: -0.20 REITS: -0.40 CRYPTO: -0.50 GOLD: -0.05 CASH: 0 dot_com_2000: name: "Dot-Com Bust (2000-2002)" impacts: US_EQUITY: -0.45 TECH: -0.75 # Apply to technology sector specifically INTL_EQUITY: -0.40 BONDS: +0.15 CASH: 0 rate_hike_shock: name: "Rapid Rate Hike (+300bps)" impacts: US_EQUITY: -0.15 BONDS: -0.15 HIGH_YIELD: -0.10 REITS: -0.25 CRYPTO: -0.20 GOLD: -0.10 CASH: +0.01 # higher yields inflation_surge: name: "Stagflation (persistent 8%+ inflation)" impacts: US_EQUITY: -0.20 BONDS: -0.20 CRYPTO: -0.10 # debatable hedge GOLD: +0.15 REITS: -0.05 COMMODITIES: +0.20 CASH: -0.03 # real value erosion crypto_winter: name: "Crypto Winter (80% drawdown)" impacts: CRYPTO: -0.80 US_EQUITY: -0.05 # minor contagion ``` ### 3.2 Stress Test Report Format For each scenario: ``` 📉 SCENARIO: [Name] | Position | Current Value | Stressed Value | Loss | |----------|--------------|----------------|------| | AAPL | $11,425 | $5,713 | -$5,712 | | ... | ... | ... | ... | | TOTAL | $XX,XXX | $XX,XXX | -$XX,XXX (-XX.X%) | Could you survive this? [YES/NO based on cash reserves and income needs] Recovery estimate: X-X months ``` ### 3.3 Custom Scenario Builder If user describes a specific worry, build a custom scenario: ``` User: "What if tech crashes 40% but bonds rally?" → Build custom impact map, apply to portfolio, report results ``` --- ## 4. Portfolio Optimization ### 4.1 Current Allocation Assessment ``` Compare current allocation to standard models: AGGRESSIVE (Age <35, high risk tolerance): Equities: 80-90%, Bonds: 5-10%, Alternatives: 5-10%, Cash: 2-5% GROWTH (Age 35-50): Equities: 60-75%, Bonds: 15-25%, Alternatives: 5-10%, Cash: 5% BALANCED (Age 50-60): Equities: 40-60%, Bonds: 30-40%, Alternatives: 5-10%, Cash: 5-10% CONSERVATIVE (Age 60+, income focus): Equities: 20-40%, Bonds: 40-50%, Alternatives: 5%, Cash: 10-20% Current allocation matches: [MODEL] profile Recommended adjustments: [specific moves] ``` ### 4.2 Risk Parity Analysis ``` Risk Parity Target: Each asset class contributes EQUAL risk to portfolio Steps: 1. Calculate each position's risk contribution: Risk Contribution = Weight × Volatility × Correlation_with_portfolio 2. For equal risk contribution: Target Weight_i = (1/Vol_i) / Σ(1/Vol_j) 3. Report: Current vs Risk-Parity weights Trades needed to rebalance Expected impact on Sharpe Ratio ``` ### 4.3 Rebalancing Recommendations ``` Check rebalancing triggers: - Any position drifted >5% from target? → REBALANCE - Any asset class drifted >10% from target? → REBALANCE - Last rebalance >6 months ago? → REVIEW Rebalancing Method: 1. Calculate target weights 2. Calculate current weights 3. Determine trades needed (minimize transactions) 4. Tax-lot optimization: sell highest-cost lots first (minimize tax) 5. Consider wash sale rules if harvesting losses Output trade list: | Action | Ticker | Shares | Est. Value | Reason | |--------|--------|--------|-----------|--------| | SELL | AAPL | 15 | $3,428 | Overweight tech | | BUY | BND | 25 | $1,850 | Underweight bonds | ``` ### 4.4 Correlation Analysis ``` Assess diversification quality: HIGH correlation pairs (>0.7) — these DON'T diversify each other: - Tech stocks with each other - US equity ETFs with each other - High yield bonds with equities LOW correlation pairs (<0.3) — TRUE diversifiers: - Stocks vs Treasury bonds - US vs Gold - Equities vs Managed Futures NEGATIVE correlation — HEDGES: - Long equity + Put options - Stocks + VIX products - Growth + Value in some regimes Grade portfolio diversification: A/B/C/D/F ``` --- ## 5. Risk Score Card (0-100) Generate a single risk score: ```yaml risk_scorecard: concentration_risk: weight: 20 score: X # 100 = well diversified, 0 = single stock details: "Top position is X%, X sectors represented" volatility_risk: weight: 20 score: X # 100 = low vol, 0 = extremely volatile details: "Portfolio annualized vol: X%" drawdown_risk: weight: 20 score: X # 100 = minimal drawdown exposure, 0 = could lose 50%+ details: "Max estimated drawdown: X%" liquidity_risk: weight: 15 score: X # 100 = all highly liquid, 0 = illiquid positions details: "X% in liquid large-cap, X% in illiquid" income_resilience: weight: 10 score: X # 100 = strong income, 0 = no yield details: "Portfolio yield: X%, X% from reliable dividend payers" market_sensitivity: weight: 15 score: X # 100 = low beta/defensive, 0 = highly aggressive details: "Portfolio beta: X.XX" overall_score: X/100 rating: "[CONSERVATIVE|MODERATE|AGGRESSIVE|SPECULATIVE]" recommendation: "[Key action item]" ``` ### Score Interpretation - 80-100: FORTRESS — Well-protected, may be too conservative for growth - 60-79: SOLID — Good risk management, minor improvements possible - 40-59: MODERATE — Reasonable but has notable risk exposures - 20-39: ELEVATED — Significant vulnerabilities, rebalancing recommended - 0-19: DANGER ZONE — Extreme concentration or volatility, urgent action needed --- ## 6. Monitoring & Alerts ### Daily Check Template (for cron/heartbeat use) ``` For each portfolio position: 1. Check price vs previous close (web search) 2. Flag if any position moved >3% in a day 3. Flag if any position hit stop-loss level 4. Check for earnings/events in next 7 days Alert Thresholds: - Single position -5% in a day → ALERT - Portfolio -3% in a day → ALERT - Position hits 52-week low → WATCH - VIX > 25 → ELEVATED CAUTION - VIX > 35 → HIGH ALERT — review hedges ``` ### Weekly Review Template ```markdown ## Portfolio Weekly Review — [Date] ### Performance - Portfolio value: $XX,XXX (±X.X% week) - Best performer: [TICKER] +X.X% - Worst performer: [TICKER] -X.X% - vs S&P 500: [outperformed/underperformed] by X.X% ### Risk Changes - VaR change: $X,XXX → $X,XXX - Any new concentration issues? [Y/N] - Rebalancing needed? [Y/N] ### Upcoming Events - Earnings: [tickers and dates] - Ex-dividend dates: [tickers and dates] - Fed/macro events: [list] ### Action Items 1. [Specific recommendation] 2. [Specific recommendation] ``` --- ## 7. Tax-Loss Harvesting Scanner ``` For each position with unrealized losses: 1. Calculate unrealized loss: (Current Price - Avg Cost) × Shares 2. Check if loss >$500 (worth harvesting) 3. Identify tax-efficient replacement: - Same sector ETF (avoids wash sale) - Similar factor exposure - Hold replacement 31+ days before switching back Report: | Ticker | Unrealized Loss | Replacement | Wash Sale Clear Date | |--------|----------------|-------------|---------------------| | XYZ | -$2,500 | Similar ETF | [date + 31 days] | Estimated tax savings: $X,XXX (at X% marginal rate) ``` --- ## 8. Special Asset Classes ### Crypto Portfolio Risk Additional crypto-specific metrics: - Bitcoin dominance correlation - Exchange risk (centralized vs self-custody) - Protocol risk for DeFi positions - Stablecoin exposure and depeg risk - Tax implications of staking/yield ### Real Estate (REITs/Property) - FFO yield vs dividend yield - Interest rate sensitivity - Geographic concentration - Property type diversification (residential/commercial/industrial) ### Options Positions If portfolio includes options: - Delta exposure (equivalent stock position) - Theta decay (daily time value loss) - Implied volatility vs historical - Max loss calculation - Breakeven prices --- ## 9. Report Generation ### Full Risk Report (on request) Generate a complete PDF-ready markdown report: ```markdown # Portfolio Risk Report ## Prepared: [Date] ## Portfolio: [Name] ### Executive Summary [2-3 sentence overview: total value, risk rating, top recommendation] ### 1. Holdings Summary [Position table from Section 1] ### 2. Risk Metrics [All calculations from Section 2] ### 3. Stress Test Results [All scenarios from Section 3] ### 4. Optimization Recommendations [From Section 4] ### 5. Risk Scorecard [From Section 5] ### 6. Action Plan [Prioritized list of recommended changes] ### Disclaimer This analysis is for informational purposes only and does not constitute financial advice. Past performance and historical data do not guarantee future results. Consult a qualified financial advisor before making investment decisions. ``` --- ## 10. Quick Commands Respond to these natural language requests: | User Says | Action | |-----------|--------| | "Analyze my portfolio" | Full Section 1-5 analysis | | "What's my risk?" | Risk Scorecard (Section 5) | | "Stress test my portfolio" | All scenarios (Section 3) | | "What if the market crashes?" | 2008 + COVID scenarios | | "How should I rebalance?" | Section 4 optimization | | "Tax loss harvest" | Section 7 scanner | | "Weekly review" | Section 6 weekly template | | "Add [position]" | Update portfolio YAML, recalculate | | "Remove [position]" | Update portfolio YAML, recalculate | | "What's my VaR?" | Value at Risk calculation (Section 2.2) | | "Compare to S&P 500" | Benchmark comparison | | "How diversified am I?" | Concentration + correlation analysis | | "What's my Sharpe ratio?" | Section 2.5 | | "Set alert for [ticker] at [price]" | Add to monitoring (Section 6) | --- ## Edge Cases ### Small Portfolios (<$10K) - Skip VaR (not meaningful for small amounts) - Focus on concentration risk and savings rate - Recommend index-first approach ### Single Stock Portfolios (e.g., company RSUs) - ALWAYS flag extreme concentration risk - Model collar strategies (protective put + covered call) - 10b5-1 plan reminder for insiders - Calculate how much to diversify per quarter ### Crypto-Heavy (>50% crypto) - Apply crypto winter scenario prominently - Flag exchange counterparty risk - Recommend cold storage percentage - Note tax complexity of DeFi/staking ### International Portfolios - Currency risk calculation - Country risk premium - Withholding tax impact on dividends - ADR vs local share considerations ### Leveraged Positions (margin/options) - Calculate margin call price - Stress test at 2x normal drawdown - Flag if margin utilization >50% - Model forced liquidation scenarios ### Retirement Accounts (IRA/401k) - Different tax treatment (no tax-loss harvesting needed) - RMD impact for traditional IRA - Roth conversion opportunity analysis - Sequence of returns risk for near-retirees


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