Tax Genius · India
Portfolio Risk Methodology
Mission Saptanga portfolio-risk methodology across concentration, factor exposure, volatility, dependence, scenarios, drawdowns and decision constraints.
Research framework published and architecture-reviewed:
Research framework
Risk is not one metric. A portfolio can look diversified by position count while remaining concentrated by factor, liquidity or scenario exposure.
A multi-lens risk system
Volatility, drawdown, concentration, liquidity, factor exposure and scenario sensitivity answer different questions. Mission Saptanga treats disagreement between these lenses as information rather than forcing them into one score.
Dependence matters
Diversification is evaluated through shared exposures and changing dependence, not only the number of holdings. Correlations can rise during stress and should therefore be tested conditionally where the data supports it.
Scenarios and constraints
Portfolio analysis records the shock assumptions, investor or mandate constraints and the trade-offs introduced by any optimization process.
Decision role
Risk evidence is designed to challenge conviction before allocation and to monitor whether the portfolio remains inside its intended operating envelope.
Methodology
- Use multiple complementary risk lenses rather than a single headline statistic.
- Measure concentration by holdings, sectors, factors and correlated exposures.
- Pair statistical risk with scenario and drawdown analysis.
- Make investor or mandate constraints explicit before optimization.
Evidence requirements
- Current portfolio/exposure data for portfolio-specific analysis.
- Documented factor and covariance methodology.
- Scenario definitions and shock assumptions.
- Liquidity and concentration information where relevant.
Limitations
- Covariance and volatility estimates can change rapidly in stressed markets.
- Scenario sets are necessarily incomplete.
- Risk models describe selected dimensions of uncertainty; they do not eliminate investment loss.