The Problem –
What is the max loss of the portfolio for a 1-month period?
Which securities are contributing to the portfolio risk?
How much will we lose/gain if we have a 2007 like crash again?
What is my exposure to a specific country/sector/asset class?
What is the portfolio’s true exposure?
What is the manager’s value add?
How is the portfolio doing compared to the policy index?
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A good ‘Portfolio Insights’ solution not only provides the ability to present the necessary analytics but also helps answer some of the ‘What-If’ questions to get a deeper analysis for Risk/Portfolio manager.
Key analytics necessary for answering above includes but not limited to below list.
A next level analysis of the portfolio will interpret basics using NLP leaving the complex ones to the manager.
Ex-Post Analytics:
Standard Deviation
Beta
Correlation
Covariance
R2
Info. ratio
Tracking Error
Active Share
Shape ratio
Treynor Ratio
Jensen Alpha
M2
Drawdown
Downside Risk
Sortino Ratio
Skewness, Kurtosis
Risk/Return Attribution
Fama Decomposition
Concentration Analysis
Ex-Ante Analytics:
VaR/CVaR
ComponentVaR
Variance/Covar
Exposure/Look-Through
What-If/Liquidity Analysis
VaR Backtesting
Scenario Analysis
