Scenario
Credit crisis — Credit spreads blow out and risk assets sell off; the S&P (SPY) falls.
Portfolio impact
A portfolio with this exposure would have an estimated move of -18.2% under this scenario (driver: SPY -15% (scenario assumption), applied via each holding's downside beta to SPY).
Contributions
| Holding | Weight | Beta-implied shock | Contribution |
|---|---|---|---|
| SMH | 30% | -19.8% | -5.9% |
| QQQ | 30% | -16.3% | -4.9% |
| SOXX | 20% | -20.4% | -4.1% |
| IGV | 20% | -16.5% | -3.3% |
Vulnerabilities
Largest negative contributors: SMH (-5.9%), QQQ (-4.9%), SOXX (-4.1%). Concentration: QQQ is 30% of the book; SMH is 30% of the book.
Possible adjustments
Common ways investors reduce exposure to a credit shock include trimming the highest-beta names and adding lower-beta or defensive exposure. Position sizing and any changes remain the investor's own decision.
Reality check
A single-factor, downside-beta estimate with a scenario-assumption shock — directional only, not a prediction or personalized advice. Betas and shock sizes shift across regimes.