A stress test is an estimate of portfolio return under various scenarios. With this new feature in Portfolio Lab, you have one more tool to assess portfolio risk that is easy to use, easy to understand and to explain to clients.
To display the stress test results for a given portfolio, navigate to the Risk tab and select the Stress Test view:
Portfolio Lab supports stress test scenarios corresponding to the following historical events:
- Asian crisis (1997)
- Russian crisis/LTCM (1998)
- Tech bubble burst ( 2000/2001)
- WTC attack (2011)
- Subprime crisis (2008/2009)
An example of analysis result is shown below. Optionally, you can compare your portfolio against an index, or another portfolio:
The results are also available in table format and can be exported to Excel. For more details on Portfolio Lab’s stress test, please refer to the user manual.