We used LCDTD for this illustration since it provides:
- A diversified equity portfolio from developed markets
- Sector weightings are broadly much like global benchmarks excluding US bonds
- A modest move towards lower-carbon and transition-ready businesses
The five largest weightings are HSBC with 1.9% (banks), AML with 1.7% (semiconductors), AstraZeneca with 1.7% (pharmaceuticals), Iberdrola with 1.4% (utilities) and Allianz with 1.3% (insurance). All issuer-level references below use these real names and weights, which come directly from the general public holdings file.
Industry collapse and vulnerability
Each security is assigned to considered one of 12 Fed industries (e.g., machinery, computers, depository institutions). For each industry we calculate:
- Portfolio weight (%)
- Estimated GPR beta (sensitivity to the GPR factor)
- Impact value for the June 23 increase converted into basis points of the expected impact on portfolio return for this event
Based on the sign of the impact assessment and economic considerations, industries are classified as follows:
- Vulnerable (expecting to be injured by the shock) or
- Resilient (expected to profit or provide ballast).
The following overlay estimates result for the June 23 increase and the LCTD portfolio:
- Total negative impact: ≈ 33.8 basis points
- Total positive impact: ≈ +15.3 basis points
- Net GPR Impact: ≈ 18.4 bps
In other words, subject to a shock of this severity, the portfolio is barely biased toward GPR-sensitive industries, with an expected decline of about 18 basis points in comparison with a GPR-neutral configuration.
The composition of the vulnerabilities could be summarized as follows:
- 39% of portfolio weight in at-risk sectors
- 61% in non-vulnerable or resilient industries
- Five out of twelve sectors are classified as in danger by the model
Figure 3: Industry-level GPR impact for the June 23, 2025 spike
