The PCI are calculated using actual, net-of-fee performance data from participating investment managers, classified into risk categories based on historical relative risk to world equities.
The ARC Private Client Indices (PCI) are a set of risk-based benchmarks designed to help private clients and their advisers assess the performance of discretionary portfolios with a non-specialist mandate.
The Indices are constructed using actual returns reported by participating investment managers (Data Contributors) and provide insight into real-world portfolio performance.
Classification schema
Individual portfolios are classified by their relative risk to world equities. Risk is defined as 36 month volatility or excess standard deviation.
Portfolios are classified using relative risk rather than asset allocation to allow investment managers the freedom to implement any asset allocation strategy while still being measured against an appropriate peer group with similar risk characteristics.
| Index | Relative risk to world equities* |
| ARC Cautious PCI | 0% -40% |
| ARC Balanced Asset PCI | 40% - 60% |
| ARC Steady Growth PCI | 60% - 80% |
| ARC Equity Risk PCI | 80% - 110% |
* The Indices reference a widely used market capitalisation-weighted global equity index that represents the performance of approximately 1,500 large- and mid-cap stocks across 23 developed markets.
Why can't managers decide which risk category their portfolios are in?
Investment managers often adopt varied naming conventions for their investment strategies, leading to significant discrepancies in risk profiles within the PCI peer group. When we analyze the data from contributing managers, it becomes evident that the definitions of “Cautious,” “Balanced,” and “Growth” can differ markedly. In fact, the risk levels associated with these models can sometimes vary by more than an entire PCI risk category between different managers.
Currency variations
Each of the Indices is calculated separately for five major currencies: sterling (GBP), US dollar (USD), euro (EUR), Swiss franc (CHF), and Canadian dollar (CAD).
Inclusion is determined by the reported base currency of the individual portfolio. A sterling denominated portfolio cannot contribute to a Swiss franc Index.
Index calculation
The PCI are published four times a year with monthly resolution and available on ARC Suggestus.com and from third party data providers.
Data collection
Participating investment managers submit actual, monthly, net of fees performance data quarterly for all materially unconstrained private client discretionary managed portfolios. This data must be submitted within three weeks after the calendar quarter-end.
Only real client performance data is used, no model portfolios or synthetic figures can be included.
Portfolio risk classification
Each contributed data series is assigned to one of the four PCI risk categories based on its historical relative risk to world equities. This classification ensures comparability between portfolios with similar risk exposures.
Risk Profile Aggregation
The performance data is aggregated using a geometric average, with weightings applied to reduce the influence of larger managers. This ensures that the Indices accurately reflect the range of private client portfolio outcomes within each risk category.
Index Publication
Final PCI performance figures are published approximately four weeks after the calendar quarter-end. Once published, the Index history remains unchanged, except in cases where a material error is identified.
PCI classification stability
It is recognised that active asset allocation can cause the relative risk of a portfolio data series to change over time.
In order to bring an element of stability to each of the PCI peer groups, once a data series has been allocated a PCI category, a 10 percentage point deviation in relative risk is tolerated.
| Index | Relative risk to world equities |
Period in wide bands before reclassification | ||||
| Lower limit | Standard band | Upper limit | ||||
| Cautious PCI | 0% | 0% -40% | 50% | 12 months | ||
| Balanced Asset PCI | 30% | 40% - 60% | 70% | |||
| Steady Growth PCI | 50% | 60% - 80% | 90% | |||
| Equity Risk PCI | 70% | 80% - 110% | 120% | |||
Relative risk calculation
Relative risk is calculated by establishing the annualised three year standard deviation (volatility) of excess returns over cash (1 month deposit) for each portfolio and dividing that by the same figure for world equities (i.e. world equities has a relative risk of 1) and that figure may be stated as a percentage (e.g. relative risk of 0.5 is 50% of equity risk).
Excess returns are the returns of a portfolio above (or below) the reference base currency cash rate. This effectively strips out the “risk-free” return from doing nothing i.e. just holding cash and allows for comparison of the final indices across currencies.
List of Private Client Indices
| ARC Sterling Cautious PCI | ARC US Dollar Cautious PCI |
| ARC Sterling Balanced Asset PCI | ARC US Dollar Balanced Asset PCI |
| ARC Sterling Steady Growth PCI | ARC US Dollar Steady Growth PCI |
| ARC Sterling Equity Risk PCI | ARC US Dollar Equity Risk PCI |
| ARC Euro Cautious PCI | ARC Swiss Franc Cautious PCI |
| ARC Euro Balanced Asset PCI | ARC Swiss Franc Balanced Asset PCI |
| ARC Euro Steady Growth PCI | ARC Swiss Franc Steady Growth PCI |
| ARC Euro Equity Risk PCI | ARC Swiss Franc Equity Risk PCI |
| ARC Canadian Dollar Cautious PCI | |
| ARC Canadian Dollar Balanced Asset PCI | |
| ARC Canadian Dollar Steady Growth PCI | |
| ARC Canadian Dollar Equity Risk PCI |
Commercial use of the ARC Wealth Indices requires a licence.
The usage of our Indices is detailed in clause 5 of our Terms and Conditions.
Unauthorised use of the ARC Indices incurs a penalty as set out in the terms and conditions. If there is any doubt over whether your use of our Indices is in breach of the terms, please contact us to avoid any risk of becoming liable to a penalty.