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Two-layer portfolio risk factor analysis

Analyzes a portfolio's observable and hidden risk factors, clusters them and keeps the analysis updated.

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Analyzes a portfolio's observable and hidden risk factors, clusters them and keeps the analysis updated.

The prompt

✦GPT-6 Astra

1	Analyze the attached portfolio's risk factors in two layers.
2
3	First, identify conventional and relatively observable factors, including:
4
5	Interest rates and discount rates
6	Economic growth and recession
7	Consumer spending
8	Credit availability and refinancing
9	Inflation and labor costs
10	Commodity and energy prices
11	Foreign exchange rates
12	Housing and commercial-real-estate activity
13	Government spending and regulation
14	Industry capital-expenditure cycles
15	Equity-market liquidity and investor risk appetite
16	Geography, customers, suppliers, and end markets
17	Technological disruption
18	Competitive intensity
19
20	Second, search creatively for less obvious common exposures. Look for companies from apparently unrelated industries that depend on:
21
22	The same customer group or source of customer funding
23	The same industry’s capital-expenditure budget
24	Shared suppliers, infrastructure, distribution channels, or technology platforms
25	Electricity, cloud computing, telecommunications, payment rails, cybersecurity, or electronic connectivity
26	Continuously available and inexpensive financing
27	Government licenses, reimbursement, subsidies, contracts, or emergency-policy support
28	Similar investor ownership, market liquidity, index inclusion, or susceptibility to forced selling
29	The same assumptions about consumer behavior, demographics, globalization, or institutional stability
30	Second- and third-order economic relationships
31	A single external event that could simultaneously affect otherwise unrelated businesses
32	Government intervention that might protect some assets or companies while excluding others
33
34	Be imaginative but disciplined. A creative factor must have a coherent causal mechanism. Do not manufacture connections merely because two securities have historically moved together.
35
36	For every material factor or cluster, explain:
37
38	Which portfolio positions are exposed?
39	What specifically connects them?
40	What event or change would activate the factor?
41	How would the factor travel through each business?
42	Would it affect fundamentals, valuation, financing, market liquidity, or some combination?
43	Would the damage likely be temporary or potentially permanent?
44	How confident are you that the connection is economically real?
45	Could a reasonable investor have identified and acted upon the factor beforehand?
46	Why might the proposed grouping be misleading or overstated?
47
48	Pay particular attention to companies classified in different industries that ultimately depend on the same economic engine.
49
50	Recognize the limitations of factor analysis. After a crisis, it is always possible to redraw boundaries around the affected companies and give their shared exposure a new name. Distinguish among:
51
52	Established factors that were identifiable and actionable beforehand
53	Hidden factors that could have been identified through deeper analysis
54	Background dependencies that are real but nearly impossible to avoid
55	Factors whose importance could not reasonably have been understood before an unprecedented event
56	Retrospective narratives that explain the past but offer little practical foresight
57
58	Do not assume every shared characteristic constitutes a useful risk factor. A useful factor requires a plausible mechanism through which multiple holdings could be affected together.
59
60	Coverage and exclusions:
61
62	Do not stop the analysis because one or more securities cannot be adequately researched. Complete the analysis using every position for which sufficient information is available.
63
64	Classify every portfolio position as:
65
66	Fully analyzed
67	Partially analyzed
68	Excluded
69
70	Mark a position partially analyzed or excluded when you cannot identify the security confidently, cannot access reliable information, do not adequately understand its business, lack necessary portfolio or thesis information, encounter conflicting information, or cannot establish its risk exposures without speculation.
71
72	For every partially analyzed or excluded position, disclose:
73
74	Company name and ticker
75	Portfolio weight, if available
76	Whether it was partially analyzed or excluded
77	The precise reason for the limitation
78	Which portions could and could not be analyzed
79	What information would be needed to complete the analysis
80	How the omission could distort the portfolio-level conclusions
81
82	Calculate the total portfolio weight that was fully analyzed, partially analyzed, and excluded. Never describe the work as covering the entire portfolio when material positions were omitted.
83
84	Do not invent a company’s business model or exposures to achieve complete coverage. Include tentative conclusions only when clearly labeled as low confidence.
85
86	Continue the analysis without waiting for clarification. Request missing information at the end so omitted positions can be incorporated into a later update.
87
88	Output requirements:
89
90	Present the results in two layers.
91
92	Begin with an intuitive executive summary written in clear, conversational language. It must be understandable without reading the supporting tables. Avoid excessive jargon and long lists of immaterial observations.
93
94	The executive summary should explain:
95
96	The three to five most important risk clusters
97	Which companies belong to each cluster and what connects them
98	Where the portfolio is more concentrated than it initially appears
99	Which apparent concentrations are probably less serious than they look
100	The most important hidden or surprising connection
101	Which risks are conventional and readily identifiable
102	Which risks are more creative, uncertain, or dependent on unusual circumstances
103	The percentage of the portfolio included in the analysis
104	Any material securities partially analyzed or excluded
105	The bottom-line conclusion about how the portfolio is diversified
106
107	Explain each cluster causally and intuitively. Do not merely name a factor such as “interest-rate risk.” Explain how it travels through the businesses and why it could cause the positions to struggle simultaneously.
108
109	Prioritize factors according to the portfolio weight exposed, potential severity, and confidence in the connection.
110
111	After the executive summary, provide:
112
113	A. Portfolio coverage and exclusions
114	B. Major identifiable risk factors
115	C. Cross-industry risk clusters
116	D. Hidden or unconventional shared exposures
117	E. Imaginative but plausible stress scenarios
118	F. Detailed position-by-factor analysis
119	G. Blind spots and information needed
120	For each important cluster, show:
121	Shared factor or dependency
122	Positions exposed
123	Approximate portfolio weight exposed
124	Transmission mechanism
125	Potential severity
126
127	Confidence in the connection
128
129	Ex-ante identifiability
130	Reasons the grouping could be overstated
131	Use current primary sources such as regulatory filings, earnings materials, and company investor presentations. Cite material factual claims.
132	Do not provide position-sizing, trading, or portfolio-reconstruction recommendations unless specifically requested.
133	Maintain this as an ongoing analysis. When the portfolio changes, update the clusters, exposed portfolio weights, coverage assessment, and overall conclusions rather than starting from scratch.

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