Portfolio analysis methodology

Objective

To state what a portfolio is actually exposed to, at a level of detail the investor cannot reach from a list of holdings and current values.

Inputs

• Holdings: instrument, quantity and, where available, cost and purchase date, from a read-only broker connection, a Consolidated Account Statement or an uploaded statement.
• Disclosed portfolios for every mutual fund and ETF held, at the most recent disclosure date available.
• Current prices for listed securities and current NAVs for schemes.
• The investor's stated goals and horizon, where provided, which set the thresholds rather than the measurements.

Calculation

1. Normalise. Every holding line is resolved to an identified instrument — ISIN for securities, scheme code for funds — rather than to the name printed on the statement.
2. Value. Each holding is valued at the current price or NAV, and the portfolio total is their sum including cash.
3. Look through. Each fund is replaced by its disclosed portfolio. Security s held at weight w inside a fund that is f of the portfolio contributes w × f to the portfolio.
4. Aggregate. Look-through contributions are summed per security across every fund and every direct holding, producing one weight per company.
5. Concentration. Top-N weight, largest single weight and the Herfindahl-Hirschman Index — the sum of squared weights — computed at company, sector, factor and fund-house level.
6. Overlap. For each fund pair, the sum over common securities of the lesser of the two in-fund weights. Reported per pair and aggregated to the portfolio.
7. Allocation. Holdings are classified to equity, debt, gold, cash and other, and compared against the target allocation where one exists.

Interpretation

A measurement becomes a finding only when it crosses a threshold appropriate to that investor. Thresholds move with horizon and with whether the portfolio is the investor's only one — they are not universal limits, and the page that reports a finding says which threshold it crossed.

Findings are ordered by the size of the exposure they describe, not by how unusual they are. A 22% single-stock weight outranks an unusual but small sector tilt.

Every finding names the holdings that produced it and the arithmetic behind it, so an intended position can be recognised as intended rather than reported as an error.

Assumptions

• A fund's most recent disclosed portfolio is representative of what it holds today.
• Disclosed weights are accurate as at the disclosure date.
• Instruments resolved by identifier are the instruments the investor holds.
• Cash and idle balances are part of the portfolio for allocation purposes.

Limitations

• Indian schemes disclose holdings monthly. An analysis reflects the last disclosure, not today — a fund that has traded materially since then is analysed as it was.
• A fund of funds, or a scheme whose holdings are not disclosed at security level, cannot be fully looked through and is reported as an unresolved exposure rather than silently omitted.
• Unlisted holdings, physical assets and foreign securities can be recorded for allocation purposes but are not analysed at the security level.
• Factor classification is a model, not a disclosure. It is a Vestmind analysis and is labelled as one.
• The analysis describes exposure. It does not forecast returns, and nothing in it is a prediction.

Sources

• SEBI — Categorization and Rationalization of Mutual Fund Schemes — defines the scheme categories and what each may hold
• National Stock Exchange of India — listed company disclosures and index constituents

Related

• The Vestmind methodology library
• VestFolio — AI portfolio analysis
• The Vestmind knowledge hub