Variance-covariance demonstration using a 1.12% daily portfolio-volatility assumption. Replace with governed 252-day portfolio returns, approved covariance and actual positions.
HEAD OF RISK
Stress scenarios
Limits and concentration
Factor exposure and variance decomposition
FACTOR
PORTFOLIO
BENCHMARK
RETURN TODAY
SHARE OF VARIANCE
READ
Market beta
0.96
1.00
+0.09%
72% of variance
Slightly defensive; cash reserve is the main damper.
Value
+0.34σ
0.00σ
+0.02%
6% of variance
Financials tilt carries the value loading.
Quality
+0.41σ
0.00σ
+0.03%
5% of variance
Funding franchise screen drives quality.
Momentum
-0.18σ
0.00σ
-0.01%
4% of variance
Trim candidates hold negative momentum.
Size
+0.62σ
0.00σ
+0.01%
5% of variance
Large-cap bias; no smallcap sleeve.
Low volatility
+0.22σ
0.00σ
+0.01%
3% of variance
Staples and healthcare provide the loading.
Rates duration
1.42yr
0.90yr
+0.01%
3% of variance
Gilt sleeve plus rate-sensitive equity.
INR / FX sensitivity
-0.11σ
0.00σ
-0.00%
2% of variance
Domestic bias, limited exporter offset.
Liquidity and exit cost by position
POSITION
EXPOSURE
AVG DAILY VALUE
DAYS TO EXIT
MODELLED IMPACT
STATUS
HDFC Bank
₹20.00cr
₹1,240cr
0.2 days
4 bps
LIQUID
ICICI Bank
₹15.00cr
₹1,080cr
0.2 days
4 bps
LIQUID
Bajaj Finance
₹15.00cr
₹640cr
0.3 days
7 bps
LIQUID
Reliance Industries
₹17.50cr
₹1,510cr
0.2 days
3 bps
LIQUID
Kotak Mahindra Bank
₹12.50cr
₹520cr
0.3 days
8 bps
LIQUID
Cholamandalam Investment
₹7.50cr
₹210cr
0.5 days
14 bps
MONITOR
Shriram Finance
₹5.00cr
₹165cr
0.6 days
17 bps
MONITOR
UltraTech Cement
₹5.00cr
₹190cr
0.5 days
15 bps
MONITOR
Bank Nifty passive sleeve
₹25.00cr
Not evidenced
Not evidenced
Not evidenced
NEEDS EVIDENCE
G-Sec 5-10Y gilt sleeve
₹7.50cr
Not evidenced
Not evidenced
Not evidenced
NEEDS EVIDENCE
TOP FIVE
32%
TOP TEN
60%
INVESTED BOOK
92%
POSITIONS
23
CASH
8%
PORTFOLIO BETA
0.96
TRACKING ERROR
4.3%
DAILY VOLATILITY
1.12%
Demonstration desk for IndusInd Capital. Modelled book, dated observed market data, no live client positions.
