Convexity Profile — The IC Report Section That Shows Return Shape
The Convexity Profile table in the IC Report shows each position's convexity score, convexity type, and tail risk flag — so the committee sees the shape of risk, not just its magnitude.
TL;DR
The Convexity Profile table in the IC Report shows each position's convexity score, convexity type, and tail risk flag — so the committee sees the shape of risk, not just its magnitude.
Why This Exists
A portfolio scoring 72 (MEDIUM) could be all linear positions, or a mix of convex and concave that average to 72. The committee needs to distinguish these cases because they behave differently in a crisis.
How It Works
One row per position: Position | Convexity Score (0-100) | Type (Convex/Linear/Concave) | Tail Flag
Tail Flag set when excess kurtosis above 3.0. Portfolio convexity = capital-weighted average. Constraint: must fall between 50 and 75.
What You See in the Platform
In the IC Report PDF after Allocation Detail. Colour-coded: green convex, grey linear, red concave. Summary bar shows aggregate convexity vs constraint band.
Where to Go Next
Read True Exposure Map for allocation vs reality, or Convexity for scoring methodology.
Next up
True Exposure Map — Raw vs Effective Allocation
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