Portfolio management in a nutshell

A central concern among various market participants of the financial industry is the management of portfolios with financial instruments while taking into account performance-, risk- and compliance-related aspects from investment, credit or treasury.

 

How to optimise your work and resources, and attain your goals

Exceed the benchmark or achieve an above-average total return. Be it through defensive investment strategies or risky hedge fund structures, single or multi-asset strategies, top-down or bottom-up approaches - PMS offers crucial quantitative foundations for active and passive investment strategies.

The portfolio management modules integrated in the overall PMS system can be extensively combined with other modules, e.g. with functionalities of the PMS risk and compliance management, and provide various far-reaching possibilities of portfolio management.

Our PMS portfolio management solutions offer you flexible hierarchical portfolio structures, tactical and strategic asset allocations, model portfolios that include comparison options as well as cross-portfolio transactions including a global order functionality.

With regard to limit systems, PMS offers pre-trade and post-trade checks that test regulatory, contractual and internal investment limits, covering fund-related legislation in Germany (KAGB), Austria (InvFG), Luxembourg (UCITS) etc. These modules allow you to define warning thresholds and to distinguish between active/passive limit exceedances. The pre-trade check places a strong focus on compliance with auditing standards, which is reflected in comprehensive records/logs.

Investment performance measurement in accordance with GIPS plays a major role in PMS, specifically transaction-based plus holdings-based performance, time- and money-weighted return, performance contribution estimation, attribution analyses, benchmarking including results on position and portfolio level in addition to the classic profit&loss analysis including realised and unrealised profits/losses. Performance attribution can be applied to stock and bond portfolios with derivatives in accordance with authors such as Brinson, Fachler, Hood, Beebower, Campisi; it offers selection, allocation, currency and other effects after the arithmetic and geometric, active return calculation.

Additional (sub)functionalities of the PMS portfolio management: Portfolio optimisations starting with the classic Markowitz approach which serves as a basis for internal and external reporting.

The financial instruments that are supported in PMS (see flyer on instruments) range from exchange-traded plain vanilla instruments, illiquid OTC instruments, structured products, exotic derivatives and hybrid products to commodity instruments, which clearly puts PMS at a competitive advantage over comparable systems. It is possible to perform mark-to-market and mark-to-model evaluations. A multitude of graphical representations and standardised as well as customer-tailored reporting options simplify your day-to-day business.

All portfolio-related key figures that are widely known in practice but also numerous exotic and innovative key figures obtained from professional sources are integrated in the PMS software system with the objective of creating a condensed statement about capital investments under risk and return aspects. The financial key figures can be grouped as follows: Risk-adjusted performance key figures, benchmarking, key figures from return distributions and regression analyses, ex-post versus ex-ante figures, downside risk and drawdown figures. A few examples: Duration, Basis Point Value, Information Ratio, Treynor Ratio, Maximum Drawdown, Calmar Ratio, Burke Ratio, Correlation, Autocorrelation, Tracking Error, Shortfall Probability, Sortino Ratio, Omega, Hurst Index, Appraisal Ratio, Bear Beta, Bull Beta, Volatility, Value-at-Risk and dozens more figures. These figures are available on single position, subportfolio and overall portfolio level – via graphical user interface or via reports. Apart from portfolio key figures, our system offers an unequalled range of additional financial key figures.