Portfolio risk report

Portfolio Risk Report

Purpose: Identify concentration breaches, sector imbalances, and factor exposures across all portfolio holdings.

Trigger: User asks "portfolio risk", "check concentration", "risk exposure", or uses /portfolio-risk-report.

Data Flow

1. Load Portfolio

• Check <current_portfolio> first — skip tool call if present.
• Otherwise: load_portfolio(portfolio_id).
• Extract holdings list with tickers and current weights.

2. Fetch Quote Data for Weights (if not in context)

• If weights are not already computed: fetch GLOBAL_QUOTE(ticker) for each holding to calculate current market value and weight %.
• Re-use from session cache if available.

3. Fetch Metadata for Each Holding

• For each ticker, call OVERVIEW(ticker) to get:
  • Sector
  • Industry
  • Market cap (classify as Large/Mid/Small)
  • Beta (factor exposure)
• Batch in parallel — plan step: "Fetch OVERVIEW for all N tickers."

4. Run Exposure Map

• Call calculate_portfolio_exposure_map(holdings_json) where holdings_json is:

  [
    {"ticker": "AAPL", "weight": 0.486, "sector": "Technology", "beta": 1.2},
    {"ticker": "MSFT", "weight": 0.499, "sector": "Technology", "beta": 1.1}
  ]
  

• Tool returns:
  • Sector exposure breakdown (% per sector).
  • Factor exposure (aggregate beta, volatility).
  • Geographic exposure (if data available).

5. Flag Concentration Breaches

Single Name Risk:

• If any holding > 20% → WARNING: "Over-concentrated in {ticker} ({weight}%)."
• If any holding > 30% → CRITICAL: "Dangerous concentration in {ticker} ({weight}%)."

Sector Risk:

• If any sector > 40% → WARNING: "Over-concentrated in {sector} sector ({weight}%)."
• If any sector > 60% → CRITICAL: "Dangerous sector concentration in {sector} ({weight}%)."

Factor Risk:

• If portfolio beta > 1.5 → WARNING: "High market sensitivity (β={beta})."
• If portfolio beta < 0.5 → NOTE: "Low market correlation (β={beta})."

6. Render Output

Concentration Table — use render_table():

Ticker	Weight %	Sector	Beta	Flag
AAPL	48.6%	Technology	1.2	—
MSFT	49.9%	Technology	1.1	—
Cash	1.6%	Cash	0.0	—

Sector Exposure Table:

Sector	Weight %	Flag
Technology	98.4%	⚠️ CRITICAL
Cash	1.6%	—

Factor Summary:

• Portfolio Beta: 1.15
• Estimated Volatility: 22% annualised
• Correlation to S&P 500: 0.85

7. Thesis Upsert — MANDATORY

This is an advanced skill → append the risk report to the portfolio thesis. ⚠️ Extended thinking is discarded — copy the complete report into the thesis field; it is the ONLY output that reaches the Thesis panel.

Thesis structure:

## Portfolio Risk Report — {Date}

### Concentration Analysis
{Concentration table}

### Sector Exposure
{Sector table}

### Factor Risk
- Portfolio Beta: {beta}
- Volatility: {vol}%
- Correlation: {corr}

**Flags:**
- {List all warnings/critical flags}

**Recommendation**: {One-line guidance — e.g. "Rebalance to reduce Technology concentration below 40%."}

8. Chat Response

State in chat field:

• Number of holdings analysed.
• Concentration breaches (if any).
• Sector exposure summary (top 2 sectors).
• Portfolio beta.
• Tools used: load_portfolio, OVERVIEW (N times), calculate_portfolio_exposure_map, render_table.

Cost Controls

• Skip load_portfolio() if <current_portfolio> is present.
• Batch OVERVIEW() calls in parallel — single plan step for all tickers.
• Reuse data from session cache — if OVERVIEW or quote already fetched this session, skip refetch.

Error Handling

• If OVERVIEW(ticker) fails, set sector = "Unknown" and beta = 1.0 (market neutral assumption).
• If calculate_portfolio_exposure_map() errors, fall back to manual aggregation: sum weights by sector from OVERVIEW results.

Output Standards

• All weights as percentages with one decimal: 12.3%.
• Beta with two decimals: 1.15.
• Volatility as annualised percentage: 22%.
• Flags: Use ⚠️ for WARNING, 🔴 for CRITICAL.
• Tables must include subtotals for each category (e.g. total sector exposure = 100%).