When looking at the Peer group performance page in Quarterly insights, I can see what looks like an EV portfolio for each of the risk levels. What are they?

Within this section you will see three EV portfolios, for low risk EV 1, for medium risk EV 3 and for high risk EV 5:

These are notional portfolios and are produced by allocating to asset-class-specific funds in proportion to our optimised portfolios from across the period of history covered, and tracking the performances of the underlying funds in those proportions.