SwissAnalytics
Portfolio Report
The portfolio report is the result of analysing several investments and applying their respective weights in the portfolio. The portfolio report is a bottom-up view on the portfolio and very informative.
The whole reports comprised 36+ pages. This is a short overview over some of these pages.
The whole reports comprised 36+ pages. This is a short overview over some of these pages.
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The front page of the portfolio report provides information about: | |
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The rating or LTV of each investment is depicted in this chart and compared to the results for the overall portfolio. The portfolio profits from a diversification effect, not only with regards to the quantitatively measured risks but also with regards to the qualitative risk assessment. | |
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We compare the risk/return expectations of all assets and the current portfolio against Markowitz' efficient frontier, both constrained and unconstrained. This is pretty standard. However, we go one step further and replace the traditional risk measure volatility by our own risk score, which is the result of our holistic approach, taking into account both quantitatively and qualitatively measured risks. The different rankings will reflect for which funds the standard deviation is no appropriate measure of risk and will allow optimizing the portfolio based on a more comprehensive risk measure. From this analysis we also derive our SwissAnalytics' Efficiency Ratio, a sort of Sharpe Ratio but with a more appropriate way of measuring the risk. | |
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This is the overview over what we call the 'Loss Framework'. This framework is part of the qualitative analysis and focuses on those risk factors which are mainly responsible for losses. Examples are fraud, theft, high leverage or sensitivity to external shocks. The factors are scored independently and in dependency to each other and are based on the underlying assets of the portfolio, taking into account diversification effects. | |
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This is a very informative page. It compares quantitative measures (such as worst monthly return, worst drawdown, drawdown and recovery period etc.) in different ways. First of all we compare the portfolio with the weighted average of the underlying assets, getting a feeling for the diversification effect of the portfolio construction. Then we compare the expectations of the underlying managers (or the analyst) with reality. We do this both on real-life data of the funds as well as on simulated data using our multiple-regression analysis. | |
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Several pages with pie charts will display the structure of the portfolio. It is easy to see what percentage of your portfolio would have lost more than 10 % during the asia crisis or what percentage of funds you will not be able to exit within half a year. | |
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Several pages with tables will give you an outstanding insight into your portfolio, listing not only the portfolio but every underlying asset. Strengths and weaknesses will be highlighted in colour. The table covering portfolio optimization, for example, would show you ways to reallocate your portfolio to reduce volatility while keeping expected return constant. | |
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One of many pages depicting in charts and in table form which funds have down well in the qualitative analysis/due diligence and which funds have shown weaknesses in certain areas. One glance is enough the get an impression of where your portfolio is at risk. | |
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This page displays a summary of the most important quantitative risk figures since 1997. The underlying time series is a combination of real-life data of the underlying funds and their simulated returns. The portfolio is compared with its benchmark, equity- and bond proxy. | |
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Our monte-carlo simulation tests the portfolio 10'000 times and shows you the results given two confidence levels of 95 % and 99 %, respectively. You will be able to assess the risk at the given confidence levels as well as beyond these levels (extreme scenario). We calculate 10 important risk figures such as the maximum drawdown, standard deviation as well as higher moments such as skewness and excess kurtosis. | |
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This page is one of many detail pages on the quantitative analysis. Information like the rolling return, drawdowns, return distribution and correlations to the benchmark and important indices is shown, both in numbers and in charts. | |
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Our homogeneity tests compare the portfolio against benchmark and equity and bond proxies. This is a helpful tool to figure out if a portfolio is correlation to its stated benchmark or not. | |
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A very important part of our quantitative analysis is our innovative multiple-regression style analysis. The goal is to be able to explain the return development of the portfolio with the help of traceable, and where possible replicable, indices. This allows us to simulate the portfolio in a stress situation that has already happened, such as the asian crisis, the LTCM debacle or more recently, the credit crisis - events which may have taken place prior to the funds' existence. | |
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This is a graphical depiction of how the portfolio did perform, or would have performed given that our regression analysis holds, during stress scenarios. | |
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Performance tables will give an overview over the performance development of the portfolio. Yellow coloured cells indicate simulated values. We also show the development of assets under management, in case of a FoHF. |
