Holdings risk: how it's scored.

The score

• What it measures: a bad six months. We take five years of daily prices and look at every six-month stretch. The score is built from the 5th-percentile one: 1 in 20 six-month stretches fell this far or further.
• Swings, not the trend: each holding's five-year trend is taken out before measuring, so a stock that happened to soar (or sink) isn't scored safer (or riskier) for it. Only how much it swings around its trend counts.
• From loss to score: a six-month loss of L becomes 100 × (1 − e^−L/0.20), kept between 1 and 99. A 10% bad stretch scores about 39, 20% about 63, 30% about 78. Cash scores 1.
• As a portfolio: the firm's holdings are combined at their weights, rebalanced daily, so holdings that move together count more than holdings that offset each other. It isn't an average of separate scores.
• The range shown: the report card also gives the raw six-month range, trend included: 1 in 20 stretches did worse than the low end, and 1 in 20 did better than the high end.

The data

• Holdings: the firm's latest quarterly Form 13F from the SEC: the US-listed stocks, ETFs and other securities it manages. The biggest positions, up to 90% of the 13F's value or 40 holdings, are scored; each needs two years of prices.
• Bonds and cash: Form ADV Schedule D 5.K(1), where firms report the asset mix of their separately managed accounts. When a firm reports bonds or cash, the 13F side is blended with them at those weights: US bonds as AGG, municipal bonds as MUB, high yield as HYG, cash as T-bills (BIL). Firms that don't report a mix are scored on the 13F alone.
• Who's scored: wealth managers only (half or more of assets for individuals, Form ADV 5.D) that file a 13F with 20 or more holdings.
• Coverage: the 13F's value over the part of the firm's assets it can explain (its stocks-and-funds share when the mix is reported; all of its assets when not). Under 50%, no score is shown: it would mostly describe what it can't see.
• Prices and splits: daily closes from public quote data. A one-day move over +150% or under −70% that matches a stock split ratio (2-for-1, 1-for-10 and so on), or is beyond 20× either way, is treated as a split the price data missed, and earlier prices are rescaled to match. Other big one-day moves, like a failed drug trial, are real and count.
• When: refreshed after each quarter's 13F filings. Now: 13Fs for the quarter ended 30-jun-2026, prices through 2026-11-06.

Benchmarks

The same measure on funds anyone can buy, so a firm's score has something to read against.

Across the 2,295 wealth managers with a score, the median is 55; half score between 50 and 61, and 80% between 46 and 67.

Over time

Wealth managers' holdings, quarter by quarter, from their past 13Fs. Every quarter is scored on the same five years of prices, so the lines move only when what firms hold changes. The dashed line is the S&P 500's level, to see whether firms take on more risk as the market climbs.

What it can't see

• Bonds and cash outside separately managed accounts, and bonds held directly, which the 13F leaves out. A firm with lots of them may be more conservative than its score.
• Mutual funds, which the 13F mostly doesn't list (ETFs it does), private investments, annuities and anything held away.
• One client. It describes the firm's holdings as a whole. A firm can run conservative and aggressive portfolios side by side; the score is their mix.
• The future. Five years of prices say how these holdings have swung, not how they will.

Firms can see their own score on their report card and tell us if something looks wrong. Questions: joe@advisortechbook.com.