Percentage Contribution to Risk (PCTR) / Percentage Contribution to Expected Tail Loss (PCETL) – These statistics give information about the fraction of total risk contributed by each of the funds in the portfolio. They are computed by multiplying the weight of the investment by their marginal contribution stat (defined above) and dividing the total by the appropriate risk measure. PCTR uses Standard Deviation as the risk measure; PC ETL uses Expected Tail Loss. Percentage contributions to risk sum up to 100%.

Investors who are required to select and monitor investment managers should develop a basic understanding of investment statistics. Quantitative tools can provide you with good insight that you can use in your qualitative interviews with managers and when monitoring your investments.