Portfolio risk metrics · ASX Hedge Fund · as of 8 Apr 2026
VaR (95%)
-$428K
-1.0%
VaR (99%)
-$685K
-1.6%
Exp. Shortfall
-$821K
-1.9%
Beta to ASX200
0.87
Market
Tracking Error
3.2%
Annualised
Info Ratio
1.45
vs Benchmark
| BHP | CSL | CBA | NAB | FMG | RIO | WBC | XRO | |
|---|---|---|---|---|---|---|---|---|
| BHP | 1.00 | 0.12 | 0.18 | 0.15 | 0.72 | 0.81 | 0.14 | 0.08 |
| CSL | 0.12 | 1.00 | 0.24 | 0.22 | 0.09 | 0.11 | 0.20 | 0.38 |
| CBA | 0.18 | 0.24 | 1.00 | 0.88 | 0.14 | 0.16 | 0.85 | 0.19 |
| NAB | 0.15 | 0.22 | 0.88 | 1.00 | 0.11 | 0.13 | 0.82 | 0.17 |
| FMG | 0.72 | 0.09 | 0.14 | 0.11 | 1.00 | 0.68 | 0.12 | 0.06 |
| RIO | 0.81 | 0.11 | 0.16 | 0.13 | 0.68 | 1.00 | 0.14 | 0.07 |
| WBC | 0.14 | 0.20 | 0.85 | 0.82 | 0.12 | 0.14 | 1.00 | 0.15 |
| XRO | 0.08 | 0.38 | 0.19 | 0.17 | 0.06 | 0.07 | 0.15 | 1.00 |
| Scenario | Probability | Portfolio Impact | Worst Sector | Impact Bar |
|---|---|---|---|---|
| GFC Repeat | 5% | -32.4% | Financials | |
| Rate Hike +200bp | 15% | -8.2% | Growth / Tech | |
| China Hard Landing | 10% | -18.5% | Materials | |
| Commodity Supercycle | 20% | +12.8% | Materials | |
| AUD Crash (-15%) | 8% | -5.6% | Consumer | |
| Bull Case (Global QE) | 12% | +22.1% | All |
| Factor | 1M | 3M | 12M | IR |
|---|---|---|---|---|
| Value | +0.8% | +2.4% | +8.2% | 1.42 |
| Momentum | +1.2% | +3.8% | +12.4% | 1.86 |
| Quality | +0.6% | +2.1% | +7.8% | 1.58 |
| Size | -0.4% | -1.2% | -3.4% | -0.62 |
| Low Vol | +0.4% | +1.8% | +5.6% | 1.12 |
| Growth | +0.2% | +0.8% | +4.2% | 0.84 |
| Leverage | -0.6% | -2.1% | -5.8% | -0.98 |
| Yield | +0.3% | +1.2% | +3.8% | 0.76 |