THE PROBLEM

What are some of the key analytics necessary to perform HOLDINGS analysis on a multi-asset portfolio?

THE APPROACH

1. Market Value/Exposure – Data from the Holdings system needs to be used as key input along with Security reference, to perform analysis by different groups such as by Gross/Net, Long/Short, Currency, Asset category(ies), Industry, Region, ESG attributes… 

2. Look through analysis – To understand true exposure of portfolios we need to break down funds into their security positions and derivatives into their underlying positions.

3. Liquidity Analysis – This will need additional calculations using both security reference, holdings and relevant market data to generate necessary liquidity metrics.

4. Portfolio/Security Analytics – Calculation of Analytics at Portfolio and Security level to generate analytics such DV01, CS01, Duration, Greeks, Yield, KRD, etc..

Bringing all this data into a BI data store (such as snowflake/Redshift) will be necessary for real-time view to make the analysis easier and more effective (See below image for a sample data set)

HOW TO?

As has been the key theme through the posts related to real-time BI Analysis – use of modern ‘cloud’ technology using a microservices architecture that can scale dynamically depending on data volume.

This will enable firms to operate using the ‘Pay Per Use’ business model – a key competitive differentiator in the long-term for deeper actionable insights.