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Portfolio Risk Analytics

Portfolio and Security Analytics for Multi-Asset Portfolios

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Need For Look-Through Analysis Of Investment Portfolios

PROBLEM

The popularity of ETFs has resulted in investor portfolios containing a large percentage of ETF and funds. As a result, understanding ‘true’ security exposure is important to ensure adherence to risk and performance per Investment Policy (IP) mandate.

Key questions that need analysis include:
– Do we know if the portfolio holds the same stock(s) across multiple ETF/Funds that the portfolio holds?
– What are the ‘true’ portfolio risks? i.e. if we do a ‘Look-Through’ into the portfolio.
– What about risk/performance attribution with ‘Look-Through’?

CHALLENGE(S)

– Getting detailed holdings data for ETF’s and other funds
  (ETFs in the US provide daily details holdings data but non-ETF’s will have lag)
– Existing systems may not be capable of calculating necessary analytics at both portfolio and detailed security level in real-time

AN APPROACH

1. Build capability to capture detailed holdings data for ETF’s/Fund as available
2. Build microservices in the ‘cloud’ to feed all data to risk systems to calculate analytics at both portfolio/security level
3. Push data to BI for real-time analysis of all portfolio analytics
4. Provide ability to perform ‘What-If’ analysis to tune portfolio as necessary

 

 

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