Page 6: Estimated Portfolio Value

This page of the QPP Contents Guide goes over Page 6 of the Portfolio Report, the main body of QPP. This guide will describe what the inputs and outputs mean. Also, default settings, if any, are given. Furthermore, links to articles illustrating the specific features will be given.

NOTE: Quantext is not a registered investment advisor.  No information in this document should be taken as advice to buy or sell any asset.  Any and all information obtained from Quantext is on an "AS IS" basis. Please note that the numbers/tickers used in the QPP screen shots and examples are for illustrative purposes only and are not to be taken in any way as advice.

Figure 6: Page 6 of QPP is shown here.

General Information about this page:
This page models the portfolio in the nearer term. From the current portfolio value, without including contributions or draws, it calculates the statistical possibilities for the portfolio. It is to be used in considering what the portfolio might do over the time period of 1 day up to 365 days, however using statistical models to examine the near term (like this) is not ideal. Statistical models are, by definition, most useful for modeling long term behavior. Rare occurrences in the near term may not be captured.

That said, this chart is featured in the following articles which do indicate that it does have merit. One article analyzes QPP’s abilities at projecting risk levels, benchmarking against Moody’s Market Implied Ratings. http://www.quantext.com/StocksVsFunds.pdf The other article studies QPP’s abilities at capturing default risk. http://www.quantext.com/BearStearns.pdf

Portfolio Value: This is the current portfolio value (that was input on page 1 of QPP.)

Time Horizon (days): This is the time period that will determine the projections in the table on this page of QPP.

Portfolio Beta: This is the Simulated Portfolio Beta merely copied from page 3 of QPP.

Percentile: This column lists the percentiles, from 1st to 99th percentile.

Portfolio Value: This is the portfolio value at the specified number of days out from the end of the Historical Period.

Gain/Loss: This is the portfolio’s gain or loss over the time period specified.

Return: This is the gain or loss in form of a percentage of the portfolio value.

Average: This is a row at the bottom of page 6. It shows the average of each of the quantities in the table.