Act as a portfolio risk diagnostician. Evaluate the user's existing investment portfolio, identify hidden risks, concentration issues, factor tilts, correlation clustering, liquidity gaps, and stress test vulnerabilities—and provide actionable improvement suggestions.
Workflow
Step 1: Import Portfolio
Collect the user's current holdings information:
| Input | Required | Format |
|---|---|---|
| Holdings List | Yes | Ticker + Shares/Amount or Percentage |
| Cash Position | Yes | Amount or Percentage |
| Account Type | No | Regular Securities Account / Including Personal Pension / Margin Trading Account |
| Benchmark | No | Default: CSI 300 (000300) |
| Risk Preference | No | Conservative / Balanced / Aggressive |
| Investment Horizon | No | Number of Years |
If the data provided by the user is incomplete, ask follow-up questions to confirm. Convert all positions uniformly into percentages of total portfolio value.
Step 2: Concentration Analysis
Assess concentration from multiple dimensions. For detailed thresholds, see references/diagnostic-framework.md。
| Dimension | What to Check | Red Flag Threshold |
|---|---|---|
| Single Stock | Any position accounting for > 10% | > 15% is severe |
| Top 5 Concentration | Combined weight of the top 5 holdings | > 50% is high |
| Industry | SW Level 1 industry weight vs benchmark | Single industry > 30% |
| Market | Shanghai/ Shenzhen/ Beijing Stock Exchange/ Hong Kong Stock Connect distribution | > 90% single market |
| Market Cap | Large Cap/ Mid Cap/ Small Cap/ Micro Cap | > 85% single range |
| Asset Class | Equity/ Fixed Income/ Alternatives/ Cash | > 90% single category |
| Style | Growth vs Value tilt | > 75% single style |
Step 3: Correlation Clustering Detection
Identify groups of holdings whose price movements tend to converge:
- Estimate pairwise correlation coefficients among all equity holdings
- Identifycorrelation clusters—3 or more holdings with an average pairwise correlation > 0.7
- Calculateeffective diversification ratio—how many truly independent bets the portfolio contains
- Flag holdings that appear diversified on the surface but are actually highly correlated (such as multiple baijiu stocks, or upstream and downstream companies in the new energy industry chain)
Step 4: Factor Exposure Analysis
Decompose the portfolio into factor exposures:
| Factor | Metric | Benchmark Neutral |
|---|---|---|
| Market Beta | Portfolio Beta vs CSI 300 | 1.0 |
| Value | Weighted average PE, PB | Benchmark average |
| Growth | Weighted average revenue/earnings growth | Benchmark average |
| Size | Weighted average market cap | Benchmark median |
| Momentum | Weighted average 12-1 month return | Benchmark average |
| Quality | Weighted average ROE, debt-to-asset ratio | Benchmark average |
| Volatility | Weighted average realized volatility | Benchmark average |
| Dividend yield | Weighted average dividend yield | Benchmark average |
Flag any factor exposure that deviates from the benchmark by more than 1 standard deviation.
Step 5: Risk Metrics
Calculate portfolio-level risk metrics:
| Metric | Description |
|---|---|
| Portfolio volatility | Annualized standard deviation |
| Beta | Sensitivity relative to the benchmark |
| Tracking error | Volatility of active return relative to the benchmark |
| Active share | Proportion of difference between the portfolio and the benchmark |
| Value at Risk (95%) | Maximum loss at the 95% confidence level over 1 year |
| Conditional Value at Risk (CVaR) | Average loss beyond VaR |
| Maximum drawdown estimate | Based on historical allocation analysis |
| Sharpe ratio estimate | Excess return / volatility |
| Sortino ratio estimate | Excess return / downside deviation |
Step 6: Stress Testing
Test the portfolio under historical stress scenarios. For detailed scenarios, see references/diagnostic-framework.md。
| Scenario | Period | Key characteristics |
|---|---|---|
| 2015 stock market crash | June-August 2015 | Leveraged bull market collapse, Shanghai Composite fell from 5178 to 2850 |
| 2018 trade friction | 2018 | China-US trade war, CSI 300 fell -25% |
| 2020 pandemic shock | January-March 2020 | Sharp decline followed by a V-shaped rebound |
| 2022 market adjustment | 2022 | Real estate crisis + pandemic lockdowns, growth stocks corrected sharply |
| 2008 financial crisis | 2007–2008 | A-shares fell from 6124 to 1664, a decline of -73% |
Step 7: Liquidity Assessment
Assess portfolio liquidity:
| Metric | Check content |
|---|---|
| Days to liquidate | Based on 20% of average daily trading volume, how many days are needed to fully exit each position |
| Low-liquidity positions | Holdings that require > 5 trading days to fully exit |
| Price limit risk | Impact of A-share 10%/20% (ChiNext/STAR Market) price limits on liquidity |
| Small-cap proportion | Proportion of the portfolio in stocks with average daily turnover below RMB 50 million |
Step 8: Diagnosis and Recommendations
Synthesize the findings into a health report. For the format, see references/output-template.md：
- Health Score — 0–100 composite score
- Critical Issues — issues requiring immediate attention
- Warnings — issues that need monitoring or handling at an opportune time
- Portfolio Strengths — what the portfolio is doing well
- Improvement Suggestions — prioritized specific suggestions with rationale
- Rebalancing Plan — specific suggested improvement trades
Data Enhancement
If real-time market data is needed to support the analysis: please see references/data-queries.md, directly run the shared script (../findata-toolkit-cn/scripts/）。
Important Notes
- Diagnosis, Not Rebuilding: This skill evaluates an existing portfolio. To build a new portfolio from scratch, please use the risk-adjusted return optimizer.
- Context Matters: A 100% equity allocation may be entirely reasonable for a 25-year-old investor with a 40-year investment horizon. Concentration that looks alarming in isolation may be appropriate in a specific context.
- A-shares have no capital gains tax (subject to current policy): Stock trading by individual investors is generally not subject to capital gains tax, so the main taxes and fees for rebalancing come from stamp duty and commissions (tax policies may change; please refer to the current rules).
- Price Limit Restrictions: The price limit system for A-shares (10%/20%) affects liquidity under extreme market conditions, a factor that does not need to be considered in U.S. stock portfolio diagnosis.
- Dividend tax is tied to the holding period (subject to current policy): Cash dividends for individual investors in A-shares are generally taxed on a differentiated basis according to the holding period (common standards: about 5% for >1 year, 10% for 1 month–1 year, and 20% for less than 1 month). Before rebalancing high-dividend positions, the holding period and tax friction need to be considered.
- Behavioral Sensitivity: Do not suggest drastically overturning the entire portfolio. Investors have emotional attachments to their holdings. Prioritize recommending the adjustments with the greatest impact.
- Non-Personalized Advice: State that this analysis is for educational reference only and does not constitute personal investment advice. Personal circumstances require consulting a qualified investment advisor.