Understand the published data.

xPortfolios publishes model portfolio targets and related research information for brokers, advisors and robo-advisors. Partners decide whether securities are supported, size and execute trades, and hold their own client and execution records.

Who our services are for

xPortfolios provides model portfolio content to financial firms and professional clients only. It is not directed at retail investors, and they should not rely on it. Nothing on this website or in our services is investment advice, a personal recommendation, or an offer or solicitation to buy or sell any security. Past model performance is not a reliable indicator of future results.

Standard models, not personal recommendations

Our four model portfolios are the same for every recipient. They are general model and research content, prepared without regard to the personal circumstances, objectives, financial situation or needs of any recipient or end investor, and they are not a personal recommendation. Each partner decides whether a portfolio is suitable for a particular client.

Model results use the stated prices, timing and costs. They are not actual broker returns or a promise of future results. Investments can fall in value. Currency changes, market liquidity, taxes and actual execution costs can affect an investor’s experience.

Performance and transaction history

Each portfolio publishes one daily value series. Its calculation method is shown beside that portfolio’s daily values. Models keep one continuous whole-share accounting book, with cash, unpaid entitlements and an estimated trading cost of 0.50% per buy or sell. Weekend rankings are provisional. Each week’s final basket is published to partners once approved, before the close of the week’s first trading session, and the model trades it at that close.

Each model book started with 100,000 in its currency (US dollars, or Saudi riyals for Saudi Alpha) on the inception date shown on its page and has never been topped up. Portfolio pages and cards show returns over one, three and six months, the year to date (portfolio pages), one, three and five years and since inception; three years, five years and since inception are averages a year. Volatility, maximum drawdown, Sharpe ratio, beta and alpha cover the whole period since inception; portfolio pages add the alpha earned so far this year. The value chart and the detailed statistics below it cover the trailing one year, rebased to 100 at its start; the complete series is available to partners through the API.

Model values are not actual brokerage returns.

Costs and prices

Model trades use the closing prices of the week’s first trading session, and daily values use closing prices; these prices are not executable quotes.

Every model trade, including the initial purchases, includes an estimated trading cost of 0.50% of its value, for purchases and sales alike. It is meant to cover the broker’s commission on an order placed at the closing price; many brokers charge less on orders of normal size. It does not include minimum charges per order, platform, advisory or partner fees charged on account value, or taxes.

Benchmark comparisons

The US portfolios and their benchmarks are in US dollars; Saudi Alpha is in Saudi riyals. Each portfolio is compared with the index named on its page: the S&P 500, the S&P MidCap 400, the S&P SmallCap 600 or the MSCI Saudi Arabia IMI 25/50. Benchmark returns are the total returns of an investable fund that tracks the index, with dividends reinvested and after that fund’s fees, so they can differ from the returns the index provider publishes. Saudi Alpha’s benchmark fund trades in New York in US dollars; with the riyal fixed at 3.75 to the dollar its returns are taken as riyal returns, and its closing prices come later in the day than the Saudi Exchange’s, so Saudi Alpha’s beta, alpha and other comparisons with its benchmark use weekly returns.

Each portfolio holds twenty stocks, far fewer than its benchmark index, so it tends to move more than the benchmark: expect larger daily swings and deeper falls. Its Sharpe ratio, which weighs return against those swings, can be lower than the benchmark’s even when its return is higher. Each portfolio page shows its volatility, maximum drawdown and Sharpe ratio beside the benchmark’s, together with its beta and alpha. Alpha is the return a year beyond what the benchmark’s moves explain at the portfolio’s beta, both measured above the 3-month US Treasury bill rate; year-to-date alpha is the same measure for the current calendar year, not converted to a yearly rate. Like every figure here it describes the past and is not a forecast.

Understanding performance measures

Total return measures the change in model value. CAGR, and the returns shown as averages a year, express growth at an annual rate. Volatility measures how much daily returns vary; maximum drawdown shows the largest fall from a previous closing peak. Annualized estimates require at least 63 observations.

Beta shows how far a portfolio typically moved for each 1% move of its benchmark: at 2.00 it rose or fell about 2% when the benchmark moved 1%. Tracking error is the annualized variation of the daily difference between the two returns; the information ratio divides the average difference by it, and R squared shows how much of the portfolio’s daily movement its benchmark explains.

Sharpe and Sortino compare returns above the 3-month US Treasury bill rate with their overall and downside variation. Calmar compares annualized growth with maximum drawdown. Value at risk and expected shortfall describe the worst 5% of observed daily returns. Risk labels describe observed annualized volatility: Low below 15%, Medium from 15% to below 25%, and High from 25%. They are not suitability ratings or forecasts.

Use the saved release ID, decision ID, effective time and status when consuming data. Stale, missed, exceptional and corrected observations must be considered in context. See Integration details for consuming published updates.

Index trademarks

S&P®, S&P 500®, S&P MidCap 400® and S&P SmallCap 600® are registered trademarks of Standard & Poor’s Financial Services LLC, and the indexes are products of S&P Dow Jones Indices LLC or its affiliates. xPortfolios and its model portfolios are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC or its affiliates, which make no representation regarding the advisability of investing in them.

MSCI and MSCI Saudi Arabia IMI 25/50 are trademarks of MSCI Inc. or its affiliates. xPortfolios and its model portfolios are not sponsored, endorsed, sold or promoted by MSCI, which makes no representation regarding the advisability of investing in them.