CTS Portfolio Management contains functionalities that support the analysis of portfolio performance and risk using different methods, including the graphic presentation of outputs, which allows assets to be allocated to individual portfolios using defined strategies. Portfolio analysis functionalities can be used directly by a end clients using a web interface or private banker or advisor during client consultation. The functionalities for managing asset allocation in client portfolios can be used within the framework of private banking or asset management services.
Portfolio performance and risk analysis
The functionalities supportinvestment decisions on the buying and selling of assets.The analytical models listed below help reduce risk or increase the return on the portfolio.
Benchmarking – a benchmark or model portfolio can be compiled and allocated to each portfolio, with which it can be compared in all analyses. The system allows the comparison of, for instance, the composition of assets according to type, currency, region or sector, including a graphic presentation or historical development of market value.
Modern portfolio theory – using a statistical model the portfolio performance and risk is estimated on the basis of individual asset performance and risk. The value at risk can be specified for a given period and level of probability. When making comparisons with the benchmark the excess return of a portfolio against the market (Alpha) can be specified or the volatility of a portfolio compared to the market as a whole (Beta) or the yield per unit of risk (Sharpe ratio). This type of analysis allows for an understanding of the portfolio risk and a comparison with the market.
Attribution analysis – this distinguishes the profit or loss caused by the difference in the composition of assets against the given investment strategy both on the level of asset category (type of security, currency, state or sector) and on the level of the selection of individual instruments in a given category. This type of analysis is used to assess how successful an investment strategy was and where it has its strong and weak points, and can be used to evaluate the investment decisions of a private banker managing a portfolio.
What-if analysis – this models different market-development scenarios using changes to the market value of any given asset category (type of security, currency, state or sector) and assess the impact on the market value of a portfolio. The results can be compared with the impact on the market value of a defined investment strategy or benchmark. This type of analysis isolates the weak points in the composition of a portfolio that appear during price shocks on the market.
Assets allocation management
The functionalities allow for the mass management of the allocation of assets of individual portfolios according to the strategy the portfolio takes part of. The strategy is represented by a virtual model portfolio using which the strategy manager can define the current distribution of individual assets in any given strategy.
If the strategy manager decides on a change in the model portfolio, he changes the allocation of assets in the portfolio and the system automatically generates buy or sell orders for individual portfolios of the given strategy so that the same asset weighting is achieved as in the model portfolio. It is possible to configure whether instructions are to be generated independently for portfolios or a mass order generated for all portfolios. Subsequently, the assets purchased using a mass order can be transferred to individual portfolios in the strategy.
If a new portfolio is created in which only cash is deposited and this portfolio is included in a particular strategy, the system can automatically generate orders to buy so that the allocation of assets corresponds to the given model portfolio.
The orders generated may automatically be sent outside the system to a partner securities broker or directly to the market using, for instance, the FIX or SWIFT protocol.