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WO1996006402A1 - Systeme d'analyse de rendement de portefeuilles - Google Patents

Systeme d'analyse de rendement de portefeuilles Download PDF

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Publication number
WO1996006402A1
WO1996006402A1 PCT/CA1995/000491 CA9500491W WO9606402A1 WO 1996006402 A1 WO1996006402 A1 WO 1996006402A1 CA 9500491 W CA9500491 W CA 9500491W WO 9606402 A1 WO9606402 A1 WO 9606402A1
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WO
WIPO (PCT)
Prior art keywords
portfolio
currency
nodes
class
index
Prior art date
Application number
PCT/CA1995/000491
Other languages
English (en)
Inventor
James A. Knowles
Toomas J. Teder
Original Assignee
Financial Models Company Inc.
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Priority claimed from CA 2130704 external-priority patent/CA2130704A1/fr
Application filed by Financial Models Company Inc. filed Critical Financial Models Company Inc.
Priority to AU32493/95A priority Critical patent/AU3249395A/en
Publication of WO1996006402A1 publication Critical patent/WO1996006402A1/fr

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation or account maintenance

Definitions

  • This invention relates to portfolio management systems, and more particularly is concerned with portfolio performance analysis systems enabling comparison of portfolio performance with a known benchmark.
  • fund managers are advised that their performance will be measured as against some known benchmark and this is in effect the criterion determining how the fund will be invested. For example, a Canadian pension fund manager could be advised that the funds should be invested principally in Canadian equities, and that the performance would be measured as against the TSE (Toronto Stock Exchange) 300 Index. This is a simple example.
  • fund managers will have a wide mandate, and it may be necessary to derive some composite index for comparison purposes.
  • the composite index could include a mixture of both equities and bonds and encompass both domestic and foreign investments. Such a composite index could be derived by taking various available indexes and combining them with appropriate weightings.
  • the fund's performance could then be measured against such a composite index, and one then obtains an idea as to how well the fund manager is performing. It is expected that a good manager should outperform the composite index, while consistent underperformance suggests that the manager should be replaced, or possibly that the whole investment strategy for the fund needs to be reviewed. In some cases, the fund manager's income will be tied to the fund's performance relative to such an index, so that accurate measurement of such over or under performance is critical.
  • a portfolio management team may manage hundreds of different funds, so that it is important to know the performance of each individual fund, and to break down or disaggregate or breakdown the performance, to determine which investment decisions were good and which were bad over any particular time period.
  • a portfolio performance analysis system which has a great degree of flexibility. More particularly, it should be able to define any desired classification scheme for the portfolio, and it should also enable a user to define any desired benchmark based on available data. To maximize analytical possibilities, it should preferably enable the user to set any number of desired links between the benchmark and the portfolio, to enable the performance of the portfolio to be disaggregated or broken down for analysis purposes. More preferably, it should adequately cover currency effects and enable performance over lengthy time periods to be analyzed. It is well recognized that investment decisions can be made on a “top-down” or “bottom-up” management basis. In a "top-down” approach, the manager first selects certain asset classes for investment, and then picks individual securities for investment.
  • each portfolio defining at least one class scheme having a variety of nodes, each of which represents an asset class, and assigning each investment to a respective asset class;
  • step (2) comprises for at least one portfolio, defining a plurality of primary nodes and a plurality of derived nodes, with each of the derived nodes combining a plurality of nodes selected from primary nodes and other derived nodes, and with the primary nodes being at the bottom of the class scheme
  • step (4) comprises, for at least one market index, defining a plurality of primary nodes and a plurality of derived nodes, with each derived node combining a plurality of nodes selected from primary nodes and other derived nodes of the respective market index and with the primary nodes being at the bottom of the respective market index.
  • the portfolio preferably has a respective base currency and includes a plurality of primary, local nodes, each of which is representative of investments denominated in a local currency which in some or all cases may be different from the base currency of the portfolio, with each local node being valued in both the base currency of the portfolio and the local currency; and there is at least one market index which is valued in a respective base currency and includes a plurality of local nodes, each of which is representative of investments in a local currency which may be different from the base currency of the market index, with each local node of that market index being valued in both the respective local currency and the base currency of the market index.
  • the attribution model then enables disaggregation of investment-related effects and currency-related effects for asset classes representative of foreign investments as well as domestic investments.
  • the method can include a plurality of portfolios as base portfolios, and at least one merged portfolio, which comprises selected ones of the base portfolios, each of which is given a weighting based on its value at various points in time, with the weightings of the base portfolios summing to unity.
  • Figure 1 is a schematic drawing of the portfolio performance analysis system of the present invention
  • Figure 2 is a more detailed schematic drawing showing an attribution model link between a portfolio class scheme and a benchmark.
  • Figures 3a - 3m show screens of a preferred implementation of the system of the present invention.
  • the system is intended for implementation on any suitable computer system.
  • a preferred platform is a personal computer with MS-DOS and Windows.
  • the system itself can be written in 'C++' language. Also as detailed below, it can be configured so that report data can be exported to an Excel spreadsheet or equivalent. It will nonetheless be appreciated that the system could be implemented using a wide variety of different computer hardware and software.
  • the description below refers to exemplary screens which are in a Windows environment and to operation in such an environment, although again it will be appreciated that any suitable user interface could be used.
  • the overall portfolio performance analysis system is designated by the reference 10.
  • the system shown in Figure 1 and described below is a general system including a number of different features, not all of which need to be included in any particula application or system.
  • the system is shown including a number of separate portfolios, at least one merged portfolio different attribution models, different benchmarks and a number of different market indexes.
  • the system could be implemented using a single portfolio, a single class scheme, a single benchmark based on just one market index, and a single attribution model linking the class scheme and the benchmark. This could be achieved without any need for the complexities of merged portfolios or composite indexes.
  • a number of inputs are provided for data from the user.
  • a class scheme input 20 enables a desired class scheme to be input while input 22 enables the node codes from an external accounting system to be input, for reasons given below.
  • the system would have a base currency and each portfolio has its own base currency, which may or may not be the same, with portfolio base currencies input at 15.
  • each portfolio there are primary class scheme nodes 24, in accordance with the class scheme input through the class scheme input 20.
  • Derived nodes 26 of the class scheme are derived from the primary class scheme nodes 24, and further derived nodes 28 are derived from one or both of the derived nodes 26 and the primary class scheme notes 24.
  • the node structure is explained in greater detail in relation to Figure 2 below.
  • the user will already be tracking basic data on their investments on an accounting system. Such data typically include the quantity of each security or investment held, its current value and possibly also currency information. Accordingly the present invention will then rely on the accounting system to provide regular, e.g. daily, data for the investments.
  • Such an accounting system is indicated at 25, and is connected to the raw data unit 14, the currency unit 16 and the external node codes unit 22, so that the relationship between the external node codes and the class scheme of the portfolio can be determined and the values from the accounting system are applied to the correct investments.
  • one or more merged portfolios can be provided, which are connected to the appropriate ones of the portfolios 12, for deriving a merged portfolio.
  • a market index is calculated as indicated at 40, and again 40a indicates one market index in detail.
  • the market index 40a has an input for market index unit values and weights at 42, and for currency and exchange rates respectively at 44 and 46, the currency and exchange rate information being the same as that provided at the inputs 16, 18 for the portfolios 12.
  • the currency and exchange rate information may not be needed, for example if portfolio base currency is the same as the system base currency and market index data is provided in both base and local currencies.
  • primary market index nodes 48 are calculated from the input data.
  • Derived market index nodes 50 are in turn calculated from the primary nodes and further derived market index nodes 52 are derived from one or both of the primary market nodes 48 and derived nodes 50.
  • one or more composite indexes can be provided. Each composite index would, in general, be calculated or derived from two or more market indexes. These can be derived in a similar manner to the market index.
  • primary composite index nodes are calculated and derived composite index nodes are calculated at 64.
  • Further derived composite index nodes 66 are derived from one or both of the primary nodes 62 and derived nodes 64.
  • a composite index could be derived from an equity index as a primary composite component, and a bond index which itself is a composite index, i.e. a derived composite index.
  • a derived index could be a composite of, for example, indexes from different countries.
  • individual benchmarks 70 are derived from the individual market indexes or the composite indexes.
  • a benchmark is defined in this system as a primary market index, a derived market index, a composite index, with a known performance and pre-defined fundamental characteristics, for the purposes of comparison with a managed portfolio for evaluation purposes.
  • one or more attribution models are provided, each linking a respective benchmark 70 with a respective portfolio class scheme 20. As detailed below, the attribution models 72 produce attribution results and analysis 74.
  • FIG 2 shows an attribution model and links between a benchmark 70 and portfolio class scheme 20 in greater detail.
  • the class scheme 20 is shown on the left hand side of the figure while the benchmark 70 is shown on the right hand side.
  • this figure is described in relation to an exemplary portfolio class scheme and an exemplary benchmark.
  • the portfolio class scheme 20 has a domestic equity asset class 80 and a foreign equity asset class 81.
  • the foreign asset class 81 is further broken down into subsidiary asset classes or nodes, representing different countries, for example, the United States at 82, Japan at 83 and Europe at 84.
  • the European node or class 84 could be further broken down into individual countries, of which only one is shown. Note that the node 81 is a parent node since it is a derived node with the nodes 82, 83 and 84 as child nodes; the nodes 82, 83 and 84 are sibling nodes to one another.
  • the portfolio class scheme 20 also includes at 86, 87, 88 further asset classes, for example for domestic bonds at 86, American bonds at 87 and European bonds at 88.
  • the benchmark 70 in this example, is a relatively complex composite index. It is made up by appropriate weightings determined in advance. It includes the TSE 300 index indicated at 90, to give a representation of expected performance of domestic or Canadian equities.
  • the European index 94 is not further broken down. As explained in greater detail , this is not necessary, and it is not necessary for there to be a direct correspondence between each node or class of a Portfolio class scheme and each node of the benchmark. However where any node, of either a portfolio or benchmark is connected in the attribution model, then all other nodes in the class scheme in the same cluster, or 'sibling nodes', must be connected in the model.
  • bond indexes representative of domestic, U.S. and European bond markets respectively.
  • the U.S. bond index is further sub divided into, for example, categories for long term bonds and short term bonds.
  • the attribution model is represented by dotted lines indicated at 100. Consequently, the correspondence between this particular portfolio class scheme 20 and benchmark 70 as indicated by the lines 100.
  • the domestic and foreign equity asset classes 80, 81 are linked to the TSE 300 index 90 and the foreign index 91.
  • Each of the individual equity classes or nodes 82, 83 and 84 are correspondingly linked to the corresponding foreign equity indexes 92, 93 and 94. Note that since there is no index corresponding to the individual countries in Europe, as indicated at 85, there is no link for this asset class or node.
  • the bond classes 86, 87 and 88 are linked to the respective market indexes 95, 96 and 97.
  • the U.S. bond index 96 is provided with finer subdivision, into the long-term and short-term bond indexes 98 and 99.
  • the initial set up procedures comprise:
  • the regular procedures comprise:
  • Currencies can be created, viewed, modified, deactivated or deleted.
  • an update window can be opened, showing the effective dates for which exchange rates have been entered for the selected or highlighted currency
  • an exchange rate window can be opened showing the exchange rates which have been entered for the highlighted or selected currency.
  • a new currency can be added, while in the currencies window, by selecting the appropriate button to obtain an End Effective Date Data Box.
  • the effective date entered should be the first date on which the countrv will become "active" in the system, and may be no more than one day earlier than exchange rates will first be entered for the new currency.
  • the appropriate fields will appear in the currencies window and should be completed in known manner. The data is then committed to the system and currency module can be exited.
  • the currencie window of Figure 3(e) is selected, and the desired currency selected.
  • the exchange rate and the new effective date for that currency are then altered. Further currencies and their exchange rates can be modified, by selection from within the currencies window. With all the exchange rate data edited as desired, the modifications or changes can be committed to the system.
  • Currencies can be deleted from within the main currency window of Figure 3(e). Where a currency is deleted, all related attribution results will be lost.
  • Currency information can be modified in various ways.
  • the country, country adjective and currency name can all be modified.
  • the main currency window of Figure 3(e) is selected.
  • the field to be edited or modified is selected for the chosen currency and the edit mode chosen.
  • the effective date for the change is entered and the field value changed as desired; once checked and corrected it could be committed to the system.
  • a market index is a primary index or derived index representing the performance of a defined securities market or defined set of securities.
  • a primary index is a market index which contains no sub- indexes, and is used as a building block for derived indexes and composite indexes;
  • a derived index is defined to be an established market index which can be defined as the weighted sum of two or more sub-indexes, which sub- indexes may be primary indexes or may in turn be derived indexes.
  • a composite index is a weighted combination of market indexes and /or other composite indexes, used as a performance benchmark for one or more portfolios.
  • Each of the market indexes or composite indexes which collectively make up the entire composite index is a composite index component.
  • a composite index is not hierarchical but inherits the hierarchies incorporated in its component market indexes.
  • a composite index may be, for example, determined as: Index A .5
  • Composite Index C _L 1.0
  • the components in turn each represent a hierarchy of primary and derived nodes.
  • the market index module is used to create a market index, and has four windows, namely a master or market index window, selected from structures in the main menu; the market index window is shown in Figure 3(f).
  • the other three windows are a nodes window, which shows the code, name, short name, currency and effective date of each node of the sub- index and the selected index; a composite index references window, which shows the composite indexes which incorporate the selected market index; and an index data periods window, which shows the periods for which data have been entered for a particular market index.
  • Market indexes are created or added by a selection from the main menu and an effective date entered.
  • the effective date is the first date as of which the index will become active and may be no earlier than one day after unit values and weights are first available.
  • a blank record will appear in the market indexes window, for entry of index code, name, short name, and the local currency. It is preferred to include the word "Index" in the name. If the index is multi-currency, "multi-currency" designation should be used in the currency field. Otherwise, the single currency in which all local currency unit values will be denominated is presented.
  • the index code will be used to identify the market index and all index raw data files entered. Consequently, it should use a code which is consistent with the codes used by a market index data supplier.
  • a new market index is invalid, and may not be used, until its nodes or sub-indexes have been entered as detailed below.
  • nodes window button is selected and an empty nodes window will open.
  • the nodes for the new market index are then filled as follows.
  • An appropriate button is activated to create the record for the index root node.
  • the Effective Date box is completed with a desired date.
  • a default date appears, i.e. the effective date of the index main record, which may be used, or an alternative date inserted.
  • a blank node record will appear in the nodes window, and the node code, the name, the short name, and the local currency for the new root node should be entered.
  • the code of the root node must be the same as the code for the entire index already entered as described above. If the index is unitary, i.e. it has just this one node, all the entries can be committed and the marked index module exited.
  • an appropriate create child button is activated. Again, the node code, name, short name or local currency for each node is entered. Sibling codes for the child code are created by clicking on the appropriate button and again entering the appropriate data. New siblings are placed in the index in the position immediately below the node which is highlighted when the create sibling command is issued. These steps are repeated until all the nodes of the market index have been entered correctly. The hierarchical relationship between the nodes and index are altered, only when the nodes window is refreshed.
  • index code and node codes are required fields in market index raw data files. For simplicity, where possible, codes corresponding exactly to those used by an index data supplier should be used.
  • indexes require raw data denominated in both system currency and the local currency, for each index node. It is not necessary or desirable to create different "versions" of a given index for use in attribution against portfolios with different base currencies.
  • the system translates any benchmark used for attribution calculations into the base currency of the portfolio as the attribution calculations are carried out, using the appropriate exchange rate.
  • composite indexes can be created, viewed, modified, deactivated or deleted. From the main menu bar, under structures, composite indexes can be selected, to select the composite indexes module, and give the screen shown in Figure 3(d).
  • three additional windows can be opened, namely: a components window which shows the market indexes or composite indexes incorporated into the currently highlighted composite index; a nodes window, which shows the code, name, short name, currency and effective date of each node in the highlighted composite index; and a composite index references window, which shows the composite indexes which incorporate the highlighted composite index.
  • the composite index is created by first creating a new main record. From within the composite indexes and module, the appropriate button or menu selection is made. In the Effective Date dialogue box, which is then opened, the effective date for the new composite index in the appropriate format is entered. Again, this date will be the first date on which the composite index will become "active" within the system, and may be no earlier than one day after unit values or weights are first available for the composite index and its component indexes. A blank record will then appear on the composite indexes window. Name, short name and a local currency for the composite index are entered. It is preferred to include the word "benchmark" or "bench” in the name. If the index includes components which are in different currencies, again it is preferred to use multi-currency in the designation of the currency field. Otherwise, the currency in which all local currency values are stored for all the composite index components should be entered in the currency field.
  • components can be added to the composite index.
  • buttons are used to record a component.
  • the corresponding dialogue box is opened, and the effective dates for the components are entered.
  • the default date which appears namely the effective date the composite index main record, will be used.
  • a blank record will appear.
  • the type and country of the benchmark to be used as a composite component is selected or highlighted.
  • a benchmark is chosen to which this component is to be applied, and a "weight" field is highlighted and the weight for the new component is entered. This procedure is repeated for all components being added to the composite index with the appropriate weights. Note that the weights of the composite components must sum exactly to 1.
  • the nodes in a newly created composite index can be viewed from a nodes button.
  • the nodes are inherited from the nodes structure of the composite components.
  • the index contents and structure can be confirmed by running a class scheme report of the new composite.
  • a composite index structure When choosing a composite index structure, it should reflect the investment policy of the portfolios to which it is to be compared, and should, if possible, incorporate all of the asset classes in the portfolio.
  • the basic currency field of a new composite index is used only to facilitate selection of the composite from the assigned benchmark dialogue box. It does not affect the way in which the performance results are calculated, and when node weights are calculated and stored, as local currency values are inherited from the composite indexes components.
  • Composite indexes may be "nested” i.e. composite indexes may in turn be components of a larger composite indexes. The same component may appear more than once in a composite index.
  • a market index may be modified, to change the index name or short name, or to change a node name or short name. Also it may be modified, if the structure of the index changes, resulting in a need to add or deactivate nodes, or if the index is no longer needed for performance attribution or other purposes.
  • names of fields can be edited. By selecting an appropriate button, an index can be deactivated, removed or eliminated, as defined above.
  • nodes can be added to a market index, as well as deactivated, removed or eliminated.
  • Nodes are added by selecting a node immediately above the desired location of the new node, and then adding the new node as a child node to the existing node. Alternatively, it can be added as a sibling, if the new node is to be a sibling of the selected node. The effective date and other information of the new node should be entered. Again, deactivation, removal or elimination of an index node will usually result in loss of index data and any associated composite index and related attribution results.
  • a composite index may be modified, to change its name or short name, to change the weights of individual composite components etc.
  • composite index window and /or composite components window of the composite index module A composite index can be selected and its name edited as desired, and an effective date must be entered. Composite indexes can be deactivated, removed and eliminated. This can lead to loss of data.
  • Addition of a composite component to a composite index is done within the composite components window of the composite index module.
  • An appropriate button is selected to create a record, and an effective date is entered for the new component.
  • a dialogue box for the Assign Benchmark Name will open, and the type and country of the benchmark to be used as a composite component is highlighted. Then, an "apply" function is chosen and all benchmarks for the chosen type and country are displayed. The benchmark to be used as a component is chosen.
  • the weight for the new component is then entered. These steps can be repeated for all new components.
  • the components of a composite index can have their weights changed and can individually be deactivated, removed or eliminated. Elimination of a composite index or any of its components results in the loss of related composite index performance data and performance attribution results.
  • the portfolio module is opened by selecting portfolio from structures in the main menu, to give the screen shown in Figure 3(g). This shows the name, base currency, portfolio type (e.g. base or merged portfolio), the transaction basis date
  • class scheme references window which shows the name, the effective date and the dates for which raw data have been entered for each class scheme linked to the selected portfolio
  • a raw data periods window which shows the periods for which portfolio raw data have been entered for the currently selected portfolio and class scheme
  • portfolio components window which shows the portfolios which are components of the currently selected merged portfolio
  • merged portfolio references window which shows merged portfolios in which the currently selected portfolio is a component.
  • a portfolio can be created, and again an effective date is entered, which would normally be the first date for which raw transaction data are available (and, possibly, one day after
  • start-up market values are available.) A name, base currency, transaction date basis and portfolio type are entered.
  • the portfolio will then need to linked to one or more class schemes and attribution models.
  • the portfolio base currency will be the currency of the country in which the portfolio is domiciled.
  • Each portfolio must have a unique name.
  • a merged portfolio can be created in a similar manner. However, the portfolio type is selected as "merged” whereas “base” is selected for a regular or base portfolio. As for the base portfolio, it should then be linked to one or more class schemes, with an effective date for each link, usually the effective date of the portfolio.
  • Components can be added to the merged portfolio. For each component, an effective date is entered. It can be noted that all components of a portfolio must be linked to one or more class schemes used by the merged portfolio and all component portfolios must have their performance measured on the same dates at all times.
  • class scheme is selected from structures in the main menu, to open the class schemes module.
  • the main window of this module is shown in Figure 3(c).
  • Other windows available are: a nodes window which shows the code, name, short name, currency an other information for each node in the selected scheme; a portfolio references window which shows the portfolios which are linked to the selected schemes; and an attribution model references window, which shows the attribution models which are linked to the selected scheme.
  • class scheme structures are created using a benchmark as a "template.” This is done using the same "Benchmark Component” dialogue box described above in the sections of
  • a name and a shortname are attached, which is usually different from those in the corresponding benchmark nodes.
  • the external accounting system classification scheme used to "feed" this node (this may be a "placeholder” if the portfolio accounting system does not have a corresponding asset class; i.e. the external node code used in the portfolio accounting system to define the asset class represented by the scheme node) .
  • Node types may be one of the following: total portfolio, for portfolios with securities /currencies only; total portfolio with cash, for portfolios with one or more cash balances; non-cash, for all asset classes except total portfolio and cash balances; and cash (there may be several of these in one classification scheme).
  • the effective date should be the first date as of which raw portfolio data will be entered using this class scheme. It should be no earlier than the effective date of the benchmark on which the class scheme is to be based.
  • a new class scheme dialogue box opens, and a name and a shortname for the class scheme are entered. It is generally preferable to include the word "scheme" in the name. If performance attribution is to be carried out using the scheme, i.e. the scheme will be used for more than just performance measurement, a name for an attribution model is then entered, which should generally include the word "model" in the name.
  • an index button is selected, and an assign benchmark name dialogue box opens.
  • the type and country of the benchmark to be used as a template is selected.
  • the function "apply" is then effected, to list the benchmarks corresponding to the selected country and type.
  • the desired template benchmark is chosen from the list. If any of the schemes or model names of the template benchmark are incorrect, the appropriate steps are repeated. Then the new class scheme is created and a record inserted in the class schemes window.
  • a nodes window in the class scheme module is opened, and the appropriate field selected and edited.
  • An enter effective date dialogue box will open.
  • change i.e. deactivate or change the name of, a node in an existing class scheme
  • the effective date of the change is entered, and must be no earlier than the default date shown.
  • the external scheme code, the external node code, the local currency of the node code type must be entered.
  • the external scheme code, the external node code, the local currency of the node code type must be entered.
  • either a name, the external scheme code or the external node code may be changed without loss of data.
  • a change to the node type or currency will entail deletion of all portfolio raw data, performance results and performance attribution results based on their class schemes, from the effective date of the change forward. The system then assumes that all changes are for the currently entered effective date until a commit command is issued. When the commit command is complete, the system will require the reentry of an effective date before allowing further changes to the scheme or node.
  • Cash nodes do not require an external scheme code or external node code. Only the names, the local currency and the node type need to be entered.
  • the class scheme may be modified, to change the name of the scheme or the scheme node, if the structure or related benchmark is changed, or to add, deactivate or delete nodes to allow more or less detailed performance measurement.
  • the class scheme module is opened, the desired class scheme selected and the edit mode entered.
  • the effective date is entered in the appropriate dialogue box, and then the change of name entered.
  • Class schemes may be deactivated, removed, or eliminated from within the class scheme modules.
  • name or short name of a scheme node can be changed, and a node may be deactivated, removed or eliminated.
  • a node can be added to a class scheme from within the class scheme module.
  • the nodes window is opened and a node selected. If the selected node is to be a parent node, then the new node is added as a child node, while if the selected node is to be a sibling, the new node is added as a sibling node. Then, the effective date is entered, together with the name, short name, currency, and other data for the new node.
  • name changes result in a new instance of the class scheme, if the effective date entered is different from the effective date that is current to the time of the change. However, if the change is made as of the current effective date, the old name may not be recovered once the name of the scheme or node is changed.
  • Deactivation or removal of the scheme will result in the loss of all data stored under the scheme, including portfolio raw data, performance data and performance attribution results, from the effective date of the deactivation /removal forward.
  • Sibling nodes may not share the same name or short name. Nodes may not be moved without loss of data. To effect a partial "move", a node should be deactivated at its initial location and then added to the node of a new location.
  • Deactivation or removal of a class scheme node will result in the loss of all data stored in the nodes of class scheme, including portfolio raw data, performance data and performance attribution results, from the effective date of the deactivation or removal forward. Elimination of a class scheme node will result in loss of data.
  • An attribution model is created using the attribution models module, which is selected, again, under structures of the main menu.
  • the main attribution model window is shown in Figure 3(b). This shows name, status and effective date of each attribution model.
  • initial windows that can be selected are: a nodes window which shows the benchmark node name, the class scheme node name and other information for each node in the selected model; a portfolio references window which shows portfolios which are linked to the selected model and the attribution model information window, which explains the status of the currently selected model, including reasons for any invalidity.
  • Attribution models are most efficiently created simply by specifying a name for the model when the related class scheme is created from a benchmark template. When this is done, the system creates the model automatically, with no further intervention from the user.
  • the main record of the attribution model is first created, within the attribution model module.
  • the enter effective date dialogue box will open, for entry of the effective date of the attribution model.
  • the effective date should be the first date on which the attribution model will become active and may be no earlier than one day after unit values and weights are first available for benchmark and class scheme(s) which are incorporated into the model.
  • a blank attribution model record will appear in the attributions model window.
  • a benchmark is then assigned to the model by choosing from the benchmark field and the class scheme by choosing a scheme from the class scheme field. For the class scheme and benchmark selected, a new attribution model can be committed.
  • the nodes window shows nodes in the benchmark that are assigned to the model and blank cells indicating that corresponding class scheme nodes are not yet assigned. Class scheme nodes can then be assigned to corresponding benchmark nodes, as required.
  • nodes in the benchmark or class scheme need to be incorporated in the attribution model. However, if a node is used, all other sibling nodes should be used, for the model to be valid. Thus, for example, in Figure 2, with nodes 82 and 92 linked, then nodes 83 and 84 must also be linked, for the model to be valid.
  • a single portfolio class scheme may be linked to several different benchmarks to create multiple attribution models for the same scheme.
  • the benchmarks must have compatible structures, at least to the node level, which is used in the attribution models.
  • An attribution model can be modified, for example: to change the model name; if the model is no longer needed; if the model is invalid due to a change in structure of the associate class scheme or associated benchmark, resulting in model nodes needing to be linked or delinked; the model is to be restructured to increase or decrease the amount of detail provided in its attribution results, so that model nodes need to be linked or delinked; or one or more benchmark nodes in the model have been linked to incorrect class scheme nodes.
  • Invalid attribution models may result in warning messages appearing in an attribution results log file. If this occurs, the status for the models should be reviewed.
  • the system has a function of enabling reasons for validation to be listed. If benchmark nodes exist which are not linked to corresponding class scheme nodes, the class scheme or the benchmark, or both, have been altered in structure.
  • the nodes window is opened. If benchmark nodes appear which are not linked to class scheme nodes, the linked nodes are highlighted and the dialogue box opened for the same class scheme node. The class scheme node to be linked to the benchmark node is then highlighted and confirmed. This is repeated for all benchmark nodes to correspond to class scheme nodes.
  • the attribution models module should be closed and the necessary changes made in the appropriate module
  • the attribution's model module is then reopened and the steps of connecting or disconnecting class scheme and benchmark nodes is carried out as indicated above.
  • Portfolios must be linked to one or more attribution models before attribution results can be calculated. This is carried out in the portfolio module ( Figure 3(g))
  • the record-create function is used to open the enter effective date dialogue box.
  • the effective date for the link is entered, which should be no earlier than the latest of the effective date of the portfolio and the model.
  • the attribution model is then selected and committed. It should be noted that to be linked to an attribution model, the portfolio must first be linked to the class scheme referred to by the model. Portfolios may be linked to any number of attribution models, and portfolio- model links may be deactivated, removed or eliminated.
  • the data is broken down into historical data, i.e. data with dates in the past, and current data, i.e. data for updating the system at regular intervals.
  • current data i.e. data for updating the system at regular intervals.
  • the system uses three letter SWIFT codes, to identify each currency, as shown in Figure 3e.
  • the exact three letter codes are not critical, but by way of example, CAD equals Canadian dollars, DEM equals German marks, etc.
  • Data is input in an exchange rate raw data file, with each line containing three items, namely: the SWIFT code; exchange rate; and effective date.
  • the exchange rate for each currency equals the number of units of system currency per unit of the specified currency.
  • the three items on each line are separated by commas.
  • the system requires that data for all active currencies in each period be entered.
  • the index is named International Equity, and is identified by the Index Code INTEQ as indicated in the title above.
  • the index is three levels; the first or root node being the total, identified by the node code INTEQ.
  • the second level being two regions, identified by the code INTEQRl, and INTEQR2; the third level is 20 countries distributed betwee regions 1 and 2, and each node or country is identified by a unique node code an alphanumeric of up to 12 characters.
  • the currency code "99" is used for derived nodes, such as th regions and the root node, which have child nodes with multiple loca currencies, and hence whose own local currencies are therefor indeterminate.
  • a market index raw data file contains the following items: Index Code;
  • the effective date is the first day of the period (e.g. of th month) and the end-effective date is the last day of the period. If the perio is a single day, the effective and end-effective dates will be identical. Thes two dates must also occur within the same month. The effective date mus be exactly one day following the previous period's end-effective date for tha index. It is necessary to enter an end of the month record for all indexes i every month.
  • the index code is the code for the relevan index
  • the node code is the code associated with the relevant node i the market index structure.
  • the "local currency” unit values and weights refer t quantities measured in the local currency for that node. Thus, the exampl given above these would be with respect to the relevant currency for eac country.
  • the "system currency” unit values and weight are quantities measured with respect to the system currency as opposed to local currency.
  • Unit values and weights are as of the end-effective date, and are straight forward for primary nodes, i.e. individual countries as in example above.
  • the local currency weight is normally the same as the system currency weight.
  • derived nodes e.g. the regions or the index nodes as a whole, in the example above
  • local and system currency values for derived nodes should reflect the weights and returns of the child nodes.
  • Node weights are specified as a proportion between 0 and 1. Weights are expressed as a proportion of the total index not as a proportion of the node's parent. Thus, the weights across any level of the index will sum to 1.00.
  • Portfolios' historical data are loaded according to the following file format.
  • a portfolio raw data file contains one on more data blocks.
  • Each data block contains data for a total portfolio and for each node or class in the portfolio, as defined under one or more class schemes, for a single period. Consequently, if a portfolio is linked to several class schemes, it may require several data blocks for each unitization period.
  • Cash is considered to be the pool of funds which are used to fund purchases, to receive the proceeds of sales, and to hold and pay income received or paid out.
  • transaction information of two kinds, which can be termed direct and indirect. Direct transactions are cash contributions and withdrawals, interest received on cash (or paid on overdrafts), and fees and other charges. The primary reason for these transactions is to modify the cash balance.
  • Transactions which affect cash indirectly are security purchases and sales anywhere in the portfolio, carried out using a particular currency, and any dividends or interest received or paid.
  • the primary purpose of these transactions is in order to modify security positions or because of previously established security positions, not to change the cash balance. Both kinds of transactions are used in order to compute a return for the cash balance.
  • Every other than cash is a non-cash class.
  • the value of a class changes over time due to two reasons, changes in the prices of the securities in the class and changes to the holdings of the class through purchases and sales.
  • Income can be either or both of realized income or accrued income. The two are entered separately.
  • Derivatives, including futures and currency forwards, are usually treated as non-cash securities.
  • Realized income is further distinguished as positive and negative. Positive income is income received by the portfolio and negative income is paid out by the portfolio. The accrued income is given as a gross figure, that is to say it is computed for the holdings as of the period ending date (the same date as the market values).
  • Any transaction which will change the market value of the portfolio is included. Usually, these will be purchases and sales.
  • a stock split is not explicitly included, as the change in shares is offset by the change in the unit price of the security.
  • a stock dividend however is included as a purchase, with the cash value of the dividend recorded as income.
  • the cash balances must be consistent with the basis on which transactions are considered, namely trade or settlement date. If only settlement date cash balances are available, and purchases and sales are being gathered on a trade date basis, the cash balances must be adjusted for any outstanding or unsettled trades as of the end of the period.
  • management fees and other portfolio expenses cannot all be identified separately in order to record them in the cash record, they can be treated as cash withdrawals (or contributions if appropriate). Note that performance after fees cannot be computed in such a case. Also note that in order to take fees into account in measuring performance, cash must be measured, as the fees are entered in the cash records. The effect of management fees will be attributed to the cash class. If the fees should be attributed to some other class, do not enter the amount of the fees in the cash record, but instead record the fees as negative income for the required class.
  • the computed performance of the two classes will be biased by the sudden changes in value.
  • the old class is suddenly lower in value while the new class is suddenly higher in value.
  • the security is "sold" out of the old class, at the market value as of the date of the move, and "bought" into the new class at the same market value. Since the purchase and sale are done at the same value, the two transactions net out to zero, and there is no cash effect.
  • the old and the new classes each have different local currencies, and a separate cash balance is used for each currency, then there is also a cash withdrawal from the old class of the amount of the sale, and a cash contribution to the new class of the amount of the purchase as well. Without the extra withdrawal and contribution, only total cash will be unaffected by the reclassification. The extra transactions ensure that each of the affected cash balances remain unchanged.
  • the interest accrued to the reclassification date must be computed and recorded as positive income in the old class, and as negative income in the new class. This must be done in order to balance the change in the accrued interest computed as of the valuation date (the to-date), as otherwise the income for the old class will be understated, and overstated for the new class. Although the two amounts will offset each other so that there is no cash effect, the computation of the dummy realized accrued interest is required to avoid distorting the returns for the old and the new classes.
  • the day-weighted amount of the purchase, sale and accrued interest relating to a security reclassification are computed on the basis of the end of the day of the reclassification, rather than the middle of the day as is done for other transactions.
  • the day-weighting factor becomes a
  • the day-weighting factor is 14/31, or 0.4516. If the reclassification occurs on the last day of the 31-day month, the day-weighting factor is zero, and if it occurs on the first day of the 31-day month, the day-weighting factor is 30/31, or
  • the transaction is recorded as a purchase or sale in the amount of the market value of the assets, along with an offsetting cash contribution (in the case of an asset contribution) or cash withdrawal (in the case of an asset withdrawal).
  • the principal is the same as for a security reclassification. There must be a transaction to account for the change in the value of the class, because it is not due to security price changes.
  • the general rule is that if a transaction which has no cash effect has an effect on the holdings of the portfolio, it must be included, with appropriate cash transactions to offset the amount of the transaction, in order to preserve the level of the cash balance.
  • the following describes the format and contents of the periodic data file which is used by the system to update the valuation and cash flow table in the database.
  • a portfolio raw data file contains one or more data blocks.
  • Each data block contains data for a total portfolio and for each node (class) in the portfolio, as defined under one or more class schemes, for a single period. Thus, if a portfolio is linked to several class schemes, it may require several separate data blocks for each unitization period.
  • the following is an example structure for the data blocks of the portfolio data file, and is repeated for each data block.
  • the first two lines of each data block are:
  • the second record contains the effective and end-effective dates for the data block.
  • BASIS is the transaction basis code used in the external accounting system when gathering the raw data.
  • NCLASS is a count of the number of cash and class records that are to follow in the data block, and is used as a consistency test to ensure that the file is intact.
  • NCLASS is equal to two times the number of classes (nodes) which are active in the class scheme(s) and which appear (i.e. have non-zero market values and /or cash flows) in the portfolio during the specified period.
  • the data items which relate to transactions always appear twice, once for the simple algebraic sums and once for the day-weighted sums of the transactions by class.
  • the day-weighted value for each transaction is computed by adjusting for the time remaining in the measurement period (based on trade or settlement date). For a single class, this can be computed as:
  • Each type of transaction (cash flow) is gathered separately.
  • the time remaining in the period is measured in days.
  • a transaction on any given day is assumed to occur in the middle of that day (which gives the half day adjustment).
  • the smallest value for the numerator of the factor in Equation 1 is 0.5 (for the last day of the period), and the largest value for the numerator is (for the first day of the period), thus giving a factor which is always non-zero, positive and less than 1.0.
  • reclassified securities are handled slightly differently.
  • a security is reclassified (i.e. moved from one asset class to another) in the portfolio accounting system
  • a sale transaction is generated to record the removal of the security from the old asset class
  • a purchase transaction should be generated to reflect the introduction of the security into the new class.
  • Such reclassification transactions are normally "priced" at closing prices for the day of the reclassification, and should be handled as though they had occurred at the end of the day.
  • Record 3 CASHBASE code of cash balance currency, (which is portfolio base currency code), cash balance at to-date, contributions for period, day-weighted contributions, withdrawals for period, day-weighted withdrawals, positive income for period, 1 day-weighted positive income, 1 negative income for period, 1 day-weighted negative income, 1 fees and other expenses for period, day-weighted fees and other expenses, portfolio purchases using this cash balance for period, day-weighted portfolio purchases using this cash balance, portfolio sales using this cash balance for period, day-weighted portfolio sales using this cash balance, portfolio positive income using this cash balance for period, 2 day-weighted portfolio positive income using this cash balance, 2 portfolio negative income using this cash balance for period, 2 day-weighted portfolio negative income using this cash balance -
  • CASHLOCAL code of cash balance currency, portfolio base currency code, cash balance at to-date, contributions for period, day-weighted contributions, withdrawals for period, day-weighted withdrawals, positive income for period, day-weighted positive income, 1 negative income for period, 1 day-weighted negative income, 1 fees and other expenses for period, 1 day-weighted fees and other expenses, portfolio purchases using this cash balance for period, day-weighted portfolio purchases using this cash balance, portfolio sales using this cash balance for period, day-weighted portfolio sales using this cash balance portfolio positive income using this cash balance for period, 2 day-weighted portfolio positive income using this cash balance, 2 portfolio negative income using this cash balance for period, 2 day-weighted portfolio negative income using this cash balance for period, 2 day-weighted portfolio negative income using this cash balance 2
  • Record 4 is all in the currency of the cash balance (local). Cash records are maintained separately from non-cash records because there may only be one cash balance for a given currency but there may be multiple non-cash nodes denominated in that currency.
  • CLASSBASE external scheme identifier,external class code, portfolio base currency code, market value at to-date, purchases for period, day-weighted purchases, sales for period, day-weighted sales, positive income for period, day-weighted positive income, negative income for period, day-weighted negative income, gross accrued interest at to-date (corresponding to market value), book value to correspond to market value, book value of purchases, book value of sales, book value adjustments
  • CLASSLOCAL external scheme identifier,external class code, code of class local currency, market value at to-date, purchases for period, day-weighted purchases, sales for period, day-weighted sales, positive income for period, day-weighted positive income, negative income for period, day-weighted negative income, gross accrued interest at to-date (corresponding to market value), Record 4 is all in the class local currency.
  • TOTALCASH cash portion of the portfolio (all cash balances added together)
  • TOTALPORT another summary record for everything else in the portfolio
  • TOTALCASH portfolio code,portfolio base currency, cash balance at to-date, contributions for period, day-weighted contributions, withdrawals for period, day-weighted withdrawals, positive income for period, 1 day-weighted positive income, 1 negative income for period, 1 day-weighted negative income, 1 fees and other expenses for period, day-weighted fees and other expenses, portfolio purchases using this cash balance for period, day- weighted portfolio purchases using this cash balance, portfolio sales using this cash balance for period, day-weighted portfolio sales using this cash balance, portfolio positive income using this cash balance for period, 2 day-weighted portfolio positive income using this cash balance, 2 portfolio negative income using this cash balance for period, 2 day-weighted portfolio negative income using this cash balance 2
  • TOTALPORT portfolio code,portfolio base currency code, market value at to-date, purchases for period, day-weighted purchases, sales for period, day-weighted sales, positive income for period, 2 day-weighted positive income, 2 negative income for period, 2 day-weighted negative income, 2 gross accrued interest at to-date (corresponding to market value), book value to correspond to market value, book value of purchases, book value of sales, book value adjustments
  • TOTALPORT is all in portfolio base currency.
  • the total portfolio purchases, sales, positive and negative income figures which appear at the end of the TOTALCASH record are the same as those in the TOTALPORT record.
  • the total portfolio positive and negative income figures do not include the positive and negative income amounts for cash (indicated by 1 in the above description).
  • the fields appear in TOTALCASH to match the format of the CASHBASE and CASHLOCAL records.
  • the system uses a number of different formulas for analysis purposes, which can be broken down into four groups; 1. Asset weight calculations 2. Rate of return (unitization) calculations
  • n denotes "in the native currency of the portfolio being evaluated"
  • k denotes "of or pertaining to an asset class whose performance is measured in local currency”
  • c denotes "of or pertaining to currency exposure in a multi- currency securities portfolio”
  • Index asset class weights are the proportion of the index represented by a given asset class, as of the date the index value calculation is carried out. They may be based on any of a number of "size" measures such as issue capitalization, float, or issue size; or they may be arbitrary. They are determined by the index sponsor, for example, Morgan Stanley Capital International, Standard & Poors, the Toronto Stock Exchange etc., and simply recorded in the system, without adjustment.
  • Portfolio asset class weights are of two types: security weights and currency weights. They represent the portfolio weight of each asset class at the beginning of any particular measurement period, adjusted for purchases, sales and income occurring during the measurement period.
  • WP ntk (MV ntk + AI ntk + (DWP ntk - DWS ntk - (DWPI ntk
  • WP ntk (MV ntk + Al n t k + (DWP ntk - DWS ntk ))/sum (WP ntk )
  • Performance attribution requires that total portfolio and portfolio class performance be consistent, i.e. that the overall return of a portfolio be exactly equal to the sum of the weighted returns of its component asset classes, i.e. that:
  • Al l gross accrued interest at end of period
  • Alo gross accrued interest at end of previous period
  • FPCi CBo+(DWS ⁇ -DWP ⁇ +DWC ⁇ -DWW ⁇ +(DWP -DWNl ⁇ )-DWF ⁇ )
  • Ci cash contributions to this cash balance during period
  • DWSi day-weighted sales using this cash balance during period
  • DWPi day-weighted purchases using this cash balance during period
  • DWCi day-weighted cash contributions to this cash balance during period
  • DWWi day-weighted cash contributions to this cash balance during period
  • DWPli day-weighted total portfolio positive income involving this cash balance during period
  • DWNli day-weighted total portfolio negative income involving this cash balance during period
  • DWF day-weighted fees paid from this cash balance during period
  • CBo cash balance at end of previous period
  • Portfolio returns can be disaggregated into security-related and currency-related components. These account entirely and exactly for portfolio performance during any period.
  • Security-related performance is measured in the local currency of each security class. It excludes the effects of exchange rate fluctuations over the measurement period.
  • FPSi 1 + ( sum ( WP n tk * RPitk) / 100)
  • FPSi t Security return factor for the portfolio in local currency during period t
  • RP ltk Return for portfolio asset class k in local currency during period t, in per cent
  • EPS and RP are both designated "1", i.e. are in the local currency, to exclude exchange rate effects
  • security weights, WP are in the native or base currency.
  • Currency-related returns result from exchange rate movements during the measurement period, from the manager's decision to over- or under-weight particular currencies in the portfolio, and from the timing of the manager's intra-period movements into or out of particular currencies. By definition, they are measured in the native currency of the portfolio.
  • FPC nt Currency return factor for the portfolio in portfolio native currency during period t
  • WP ntc Weight for portfolio currency c during period t
  • FPitk Return factor for portfolio asset class k in local currency during period t
  • the first equation indicates that the currency return factor FPC nt is simply the ratio of the return factors for the portfolio in native and local currencies. Effectively, in the third equation the weight of the asset class is modified by the local return factor for that asset class, while ensuring that sum of all WP ntc will be unity.
  • FP nt return factor for portfolio in portfolio native currency during period t
  • FB nt Benchmark return factor in portfolio native currency during period t
  • SWFjt Asset weighting effect factor in local currency during period t
  • SSFi Security selection effect factor in local currency during period t
  • the attribution factors (management effects) measured by the system include security-related and currency-related effects.
  • Security-related effects result from differences in the performance of the securities in the portfolio and the performance benchmark, net of the effects of currency fluctuations. They are measured in the local currency of each asset class.
  • securities denominated in different currencies e.g. Japanese equities vs. French equities
  • Derived asset classes may contain securities denominated in multiple currencies. If, for the securities valued in a particular currency, valuation and cash flow data are not available in both native and local currencies, or if a separate primary asset class is not defined, only asset weighting and security selection effects will be measured. These will incorporate any currency-related effects. In a single-currency portfolio being evaluated relative to a benchmark denominated in the same currency, currency- related effects do not exist.
  • Asset weighting effects measure the impact, in local currency terms, of the manager's decision to over- or under-weight particular asset classes relative to the performance benchmark. For a given asset class, the effect is calculated as the difference between the actual security or asset class weight and the benchmark weight, multiplied by the benchmark return factor for the class relative to the return factor for the benchmark as a whole: SW, tk (WP n ,k - WBntk) * ⁇ (FB hk / FB complicat) - 1) * 100
  • SWi tk Asset weighting effect for portfolio asset class k during period t, measured in per cent
  • FBi tk Security return factor for benchmark asset class k during period t
  • FBj t Security return factor for benchmark during period t
  • the asset weighting effects for all classes in the portfolio sum to the total portfolio asset weighting effect.
  • the total asset weighting effect factor for the portfolio can also be calculated directly:
  • SW jt Asset weighting effect for portfolio during period t, measured in per cent
  • SWF i t Asset weighting effect factor for portfolio during period t, measured in per cent
  • RBl tk Security return for benchmark asset class k during period t, in per cent
  • the asset weighting effect assumes that weighting decisions are based on anticipated benchmark returns for each asset class. This implies a "top-down" approach to portfolio management, i.e. it assumes that investment decisions are based first on selecting particular asset classes, and secondly on selection of securities within the chosen asset classes, so benchmark returns are largely unaffected by the manager's security selection decisions.
  • asset weighting effect can be calculated as follows:
  • SW'nk RP repeat k * (WPntk - WB n t ⁇ ) / (1 + sum(WB n tk *
  • SW'i tk Security weighting effect for portfolio asset class k during period t, assuming "bottom-up” management
  • SWFi t Security weighting factor for the portfolio during period t, assuming "bottom-up” management
  • Security selection effects measure the impact, in local currency terms, of the manager's decision to invest in a) securities different from those making up each asset class of the benchmark, and /or b) the same securities as those in the benchmark, but in different proportions. Where performance attribution is carried out at the security level (i.e., the asset "classes" are individual securities), the security selection effect captures intra-period security timing and transaction cost effects.
  • the security selection effect is calculated as the weight of the asset class in the portfolio multiplied by the return differential for the portfolio class relative to the benchmark class, all divided, again, by the return factor of the "hybrid" portfolio:
  • SSi tk Security selection effect for portfolio asset class k during period t, measured in per cent
  • RP ltk Security return for portfolio asset class k during period t, in per cent
  • RBj tk Security return for benchmark asset class k during period t, in per cent
  • SSF'H Security selection factor for the portfolio during period t, assuming "bottom-up" management
  • the benchmark weight instead of the asset weight
  • the benchmark return factor instead of the hybrid return factor
  • Security timing effects are analogous to security selection effects, but are based on information gathered at the individual security level rather than at the aggregate asset class level. See the Security Selection Effect Formulas section for details.
  • Currency weighting effects measure the impacts of over- or under-weighting currencies in the portfolio (in most cases, by over- or under-weighting countries) relative to the benchmark. They are analogous to security weighting effects, in that they are based on the relative performances of each currency in the benchmark rather than the currency returns actually experienced by the manager. The effects of differences between the portfolio and the benchmark in their experienced currency returns are incorporated in the currency timing effect, defined separately.
  • the weighting effect is measured as the difference (between the portfolio and the benchmark) in currency weight, multiplied by the benchmark return factor for that currency relative to the currency return factor for the entire benchmark:
  • CW ntc Currency weighting effect for portfolio currency c during period t, measured in per cent
  • WP ntc Portfolio weight for currency c during period t
  • WB ntc Benchmark weight for currency c during period t
  • FBC ntc Currency return factor for benchmark currency c during period t
  • FBC nt Currency return factor for entire benchmark during period t
  • the currency weighting effects for all classes in the portfolio sum to the total portfolio currency weighting effect.
  • the total currency weighting effect factor can also be calculated directly as the ratio of the
  • hybrid currency return factor (based on portfolio currency weights multiplied by benchmark currency returns) to the benchmark currency return factor: CWnt sum(CW ntc )
  • CW nt Currency weighting effect for portfolio during period t, measured in per cent
  • the currency weighting effect assumes that the manager's currency weighting decisions are based on anticipated benchmark currency returns. If currency weighting decisions are more typically based on anticipated portfolio currency returns, the portfolio currency weighting factor is calculated as follows:
  • CWnt Currency weighting effect for portfolio currency c during period t, measured in per cent, assuming "bottom-up" management
  • Timing effects tend to decrease in size as the unitization frequency increases (i.e., unitization periods become shorter). This is because managers cannot, over a period during which no cash flows into or out of a particular currency take place, "out-perform" that currency; currency-related return during such a period will be strictly a function of exchange rate movements. By contrast, a manager can out-perform the benchmark security return of a single asset class, even without transacting in that class, by virtue of having first selected securities which out-perform the securities in the benchmark.
  • the timing effect is calculated as the weight of the currency in the portfolio multiplied by the return differential for that currency in the portfolio relative to the same currency in the benchmark, all divided by the "hybrid" currency return factor, which is calculated from portfolio weights and benchmark returns:
  • CT ntc WP ntc * (RPC ntc - RBC ntc ) / (1 + sum(WP ntc *RBC ntc /100))
  • CT- tc Currency timing effect for portfolio currency c during period t, measured in per cent
  • P ntc Portfolio weight for currency c during period t
  • RPCn tc Portfolio return for currency c during period t
  • CT nt sum(CT ntc )
  • CT nt Currency timing effect for portfolio during period t, measured in per cent
  • CTF nt Currency timing effect factor for portfolio during period t, measured in per cent
  • currency timing effects are measured as: CT'ntc WBntc * (RPntc - RBntc) / FBCnt CTF'nt (1 + sum(WBntc * RPCntc / 100)) / FBCnt
  • the management effect factor is the ratio of the portfolio return factor to the benchmark return factor. This definition assumes that the benchmark return is always available to the portfolio sponsor and requires no portfolio management skill.
  • the management effect factor is also the product of security-related and currency-related management effects.
  • MEF nt Overall portfolio management effect factor in portfolio native currency during period t
  • SEFi t Security effect factor in local currency during period t
  • CEF nt Currency effect factor in local currency during period t
  • Composite index results are calculated by opening the calculate module from the main menu. An entire composite index and its associated performance results can be deleted.
  • the composite indexes window is opened and when the appropriate composite index deactivated.
  • Portfolio and merged portfolio asset weights and performance are calculated from the calculate module. Within this module are the portfolios or merge portfolios can be selected for unitization. Attribution results are calculated from the data command. Performance attribution results may be deleted in several ways, depending on the circumstances.
  • the portfolio module is opened and the attribution model links window is opened.
  • the portfolio and attribution model for which results are to be deleted are selected.
  • the attribution model module is opened and the attribution model selected. If no attribution results are needed for the selected model, it can be eliminated. Again, if it is desired to maintain historical results only, then the model can be deactivated.
  • results are given attribution models are also deleted when results are linked portfolio, class scheme or benchmark are deleted. Attribution results for all models are deleted if exchange rates are deleted if exchange rates are deleted.
  • Reports are produced in Microsoft's EXCEL spreadsheet program, any report can be manipulated or analyzed in any way permitted by EXCEL without affecting the system database.
  • a view encompasses one or more report types:
  • the Report Directory window appears first.
  • the Report Directory window allows a user to:
  • Configuring Reports Class scheme and attribution model reports need little configuration, requiring only that the desired schemes or models be selected, and display instructions set (see below).
  • Exchange Rate, Benchmark and Portfolio report views contain a variety of user-controlled report elements, including date ranges, sort order, effect types, reporting currency and others. Configurable elements common to most of these reports include:
  • Dates From- and to-dates are entered. The system will report on as much data as it can find between the specified dates. Where report frequency is less than monthly (i.e., quarterly or annual), quarters or years are determined by working backwards from the latest month-end for which data are found.
  • Report currency Many reports can be produced in local currency, portfolio base currency or a third currency. Base currency may vary among portfolios. Reporting currencies are set in the Data-Currency menu.
  • Sort order Reports can be sorted by date, by portfolio, by class, by attribution effect, by currency etc. The sort order is chosen
  • Graphs can be included or excluded, and graph types and sub-types chosen, within the Format-Graphs menu. All graph
  • Reports may be displayed only; displayed and printed; or displayed, printed and deleted. Display instructions are set in
  • EXCEL Using the facilities of EXCEL, various chart types can be selected. For example, in EXCEL 4.0, area, bar, column, line, pie, radar, scatter, combination and a variety of 3-D charts are available. A chart type can be set in advance.
  • Exchange rate, benchmark and portfolio reports, as well as class scheme and attribution model reports can be run.
  • the essential procedure in each case is to open the appropriate window and select, for example, the currency for an exchange rate report, and then run the report.
  • Batch reports can be created by combining two or more individual reports.
  • Benchmark performance can be reported in the local currency of the benchmark or benchmark node.
  • data can be reported in system currency or alternatively benchmark returns can be reported in any chosen currency.
  • Reports can be sorted at run time, so that desired parameters become the X and Y variables of a table.
  • Charts can appear on the left hand side of the report in the same vertical order of the report tables.
  • Batch reports are created by combining two or more individual (named) reports.
  • the order in which the individual reports are run, displayed or printed is determined by their order in the list of batch report components.
  • a batch report may contain any number of individual reports, of any type and in any order. Individual reports may appear several times in a single batch report.
  • Benchmark performance can be reported in the local currency of the benchmark or benchmark node, in system currency or in another selected currency.
  • Sorting can give various formats as follows:
  • Sorting by "X within Y” will produce a table with the "Y” variable (say, portfolio classes) across the top - in columns - and the "X” variable (say, dates) down the side - in rows.
  • Charts appear on the left hand side of the report, in the same (vertical) order as the report tables. If several related data types (eg. several attribution effects, or performance in three different currencies) are being reported, these will normally be displayed across the top (i.e. as the columns) of the table. User-specified sort preferences are dealt with next. Thus, in the example in number 1. above, a report showing returns in two currencies, for several classes, over several periods of time, would be structured as follows:

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  • Business, Economics & Management (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Engineering & Computer Science (AREA)
  • Development Economics (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Theoretical Computer Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

Un procédé d'analyse du rendement d'une pluralité d'investissements qui produit à la fois des portefeuilles et des repères et permet à un utilisateur de choisir la structure de chacun d'eux ainsi que la structure d'un modèle d'attribution les reliant. Un ou plusieurs portefeuilles sont définis et, pour chacun, un système de classes comprenant plusieurs n÷uds représentant chacun une classe de valeurs actives est défini. Si besoin est, les n÷uds peuvent comprendre des n÷uds subsidiaires. A chaque investissement correspond une classe de valeurs actives respective, et au moins un indice de marché qui peut être un mélange d'indices connus est établi pour contrôler le rendement des investissements. Un repère comprenant au moins un indice de marché et une pluralité de n÷uds séparés représentant chacun des investissements d'un type connu est défini. Ici encore, toute structure de n÷ud peut être définie et elle ne doit pas nécessairement correspondre exactement à la structure de n÷ud du système de classes. Un modèle d'attribution reliant des n÷uds choisis du système de classes avec ceux du repère est établi, ce qui permet d'analyser les classes de rendement individuelles du portefeuille.
PCT/CA1995/000491 1994-08-23 1995-08-23 Systeme d'analyse de rendement de portefeuilles WO1996006402A1 (fr)

Priority Applications (1)

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AU32493/95A AU3249395A (en) 1994-08-23 1995-08-23 Portfolio performance analysis system

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US29453194A 1994-08-23 1994-08-23
CA2,130,704 1994-08-23
CA 2130704 CA2130704A1 (fr) 1994-08-23 1994-08-23 Systeme d'analyse de performances de portefeuilles

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WO1999003052A1 (fr) * 1997-07-11 1999-01-21 The Chase Manhattan Bank Procede de gestion d'hypotheques et de portefeuille de prets a capital limite
WO1999028845A1 (fr) * 1997-12-02 1999-06-10 Financial Engines, Inc. Systeme de consultation financiere
WO1999039290A1 (fr) * 1998-01-30 1999-08-05 Brainpower S.A. Procede et appareil d'elaboration et de representation d'une analyse de donnees dans un systeme d'aide a la decision
WO1999039289A3 (fr) * 1998-01-30 1999-10-14 Brainpower S A Procede permettant d'elaborer et de representer une analyse de donnees dans un systeme d'aide a la decision
US6012044A (en) * 1997-12-10 2000-01-04 Financial Engines, Inc. User interface for a financial advisory system
US6219650B1 (en) * 1995-10-30 2001-04-17 Efi Actuaries Method of determining optimal asset allocation utilizing asset cash flow simulation
US6275814B1 (en) * 1996-11-27 2001-08-14 Investment Strategies Network Investment portfolio selection system and method
US6292787B1 (en) 1998-09-11 2001-09-18 Financial Engines, Inc. Enhancing utility and diversifying model risk in a portfolio optimization framework
US6370516B1 (en) * 1998-03-16 2002-04-09 John P Reese Computer based device to report the results of codified methodologies of financial advisors applied to a single security or element
US6799167B1 (en) * 1999-10-22 2004-09-28 Decision Analytics, Inc. Dynamic portfolio benchmarking
US6879964B2 (en) * 2001-03-07 2005-04-12 The Vanguard Group, Inc. Investment company that issues a class of conventional shares and a class of exchange-traded shares in the same fund
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US7016870B1 (en) 1997-12-02 2006-03-21 Financial Engines Identifying a recommended portfolio of financial products for an investor based upon financial products that are available to the investor
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US7249081B2 (en) 2000-02-23 2007-07-24 Financial Engines, Inc. Load aware optimization
US7305353B1 (en) 2001-03-01 2007-12-04 Charles Schwab Co., Inc. System and method for forecasting tax effects of financial transactions
US7324971B2 (en) * 2002-05-29 2008-01-29 Richard Bookstaber Blind perturbation encryption method for protecting financial position information while providing risk transparency
US7383218B1 (en) 2002-07-31 2008-06-03 Charles Schwab & Co., Inc. Method and system for integrating investment advice with financial account statement information
US7587352B2 (en) 2002-04-10 2009-09-08 Research Affiliates, Llc Method and apparatus for managing a virtual portfolio of investment objects
US7620577B2 (en) 2002-06-03 2009-11-17 Research Affiliates, Llc Non-capitalization weighted indexing system, method and computer program product
US7752110B1 (en) 2000-05-12 2010-07-06 Charles Schwab & Co. Method and system for graphically differentiating user preferred securities from one another
US7844527B2 (en) 2005-08-30 2010-11-30 Pensiondcisions Limited Method and system for measuring investment performance
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US7962398B1 (en) 2000-09-15 2011-06-14 Charles Schwab & Co. Method and system for executing trades in a user preferred security
US20120016787A1 (en) * 2007-11-28 2012-01-19 Scott Patrick Trease Methods, Systems, and Computer Program Products for Providing Low Risk Portable Alpha Investment Instruments
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US10296983B2 (en) 2014-12-08 2019-05-21 Carolina Carbajal De Nova How to model risk on your farm
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US7243081B2 (en) 1995-10-30 2007-07-10 Efi Actuaries Method of determining optimal asset allocation utilizing asset cash flow simulation
US6275814B1 (en) * 1996-11-27 2001-08-14 Investment Strategies Network Investment portfolio selection system and method
WO1999003052A1 (fr) * 1997-07-11 1999-01-21 The Chase Manhattan Bank Procede de gestion d'hypotheques et de portefeuille de prets a capital limite
US7062458B2 (en) 1997-12-02 2006-06-13 Financial Engines User Interface for a financial advisory system that allows an end user to interactively explore tradeoffs among input decisions
US7016870B1 (en) 1997-12-02 2006-03-21 Financial Engines Identifying a recommended portfolio of financial products for an investor based upon financial products that are available to the investor
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US7788155B2 (en) 1997-12-02 2010-08-31 Financial Engines, Inc. Financial advisory system
US6012044A (en) * 1997-12-10 2000-01-04 Financial Engines, Inc. User interface for a financial advisory system
WO1999039290A1 (fr) * 1998-01-30 1999-08-05 Brainpower S.A. Procede et appareil d'elaboration et de representation d'une analyse de donnees dans un systeme d'aide a la decision
WO1999039289A3 (fr) * 1998-01-30 1999-10-14 Brainpower S A Procede permettant d'elaborer et de representer une analyse de donnees dans un systeme d'aide a la decision
US6370516B1 (en) * 1998-03-16 2002-04-09 John P Reese Computer based device to report the results of codified methodologies of financial advisors applied to a single security or element
US7321871B2 (en) 1998-09-11 2008-01-22 Financial Engines, Inc. Enhancing utility and diversifying model risk in a portfolio optimization framework
US6292787B1 (en) 1998-09-11 2001-09-18 Financial Engines, Inc. Enhancing utility and diversifying model risk in a portfolio optimization framework
US6799167B1 (en) * 1999-10-22 2004-09-28 Decision Analytics, Inc. Dynamic portfolio benchmarking
US7003484B2 (en) * 1999-12-30 2006-02-21 Ge Capital Commercial Finance, Inc. Methods and systems for efficiently sampling portfolios for optimal underwriting
US7249081B2 (en) 2000-02-23 2007-07-24 Financial Engines, Inc. Load aware optimization
US6879990B1 (en) 2000-04-28 2005-04-12 Institute For Scientific Information, Inc. System for identifying potential licensees of a source patent portfolio
US8548889B1 (en) 2000-05-12 2013-10-01 Charles Schwab & Co., Inc. Method and system for graphically differentiating user preferred securities from one another
US7752110B1 (en) 2000-05-12 2010-07-06 Charles Schwab & Co. Method and system for graphically differentiating user preferred securities from one another
US7962398B1 (en) 2000-09-15 2011-06-14 Charles Schwab & Co. Method and system for executing trades in a user preferred security
US7305353B1 (en) 2001-03-01 2007-12-04 Charles Schwab Co., Inc. System and method for forecasting tax effects of financial transactions
US9773276B2 (en) 2001-03-01 2017-09-26 Charles Schwab & Co., Inc. System and method for forecasting tax effects of financial transactions
US8090646B2 (en) 2001-03-07 2012-01-03 The Vanguard Group, Inc. Investment company that issues a class of conventional shares and a class of exchange-traded shares in the same fund
US6879964B2 (en) * 2001-03-07 2005-04-12 The Vanguard Group, Inc. Investment company that issues a class of conventional shares and a class of exchange-traded shares in the same fund
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US7925573B2 (en) 2001-03-07 2011-04-12 The Vanguard Group, Inc. Computer program product for implementing investment company that issues a class of conventional shares and a class of exchange-traded shares in the same fund
US7720749B2 (en) 2001-03-07 2010-05-18 The Vanguard Group, Inc. Purchase and selling of exchange-traded shares in an investment company that issues a class of conventional shares and a class of exchange-traded shares in the same fund
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US8768800B2 (en) 2001-04-26 2014-07-01 Charles Schwab & Co., Inc. System and method for income planner
US8200561B1 (en) 2002-03-29 2012-06-12 Financial Engines, Inc. Tax-aware asset allocation
US7587352B2 (en) 2002-04-10 2009-09-08 Research Affiliates, Llc Method and apparatus for managing a virtual portfolio of investment objects
US7324971B2 (en) * 2002-05-29 2008-01-29 Richard Bookstaber Blind perturbation encryption method for protecting financial position information while providing risk transparency
USRE44362E1 (en) 2002-06-03 2013-07-09 Research Affiliates, Llc Using accounting data based indexing to create a portfolio of financial objects
USRE44098E1 (en) 2002-06-03 2013-03-19 Research Affiliates, Llc Using accounting data based indexing to create a portfolio of assets
US8694402B2 (en) 2002-06-03 2014-04-08 Research Affiliates, Llc Using accounting data based indexing to create a low volatility portfolio of financial objects
US7620577B2 (en) 2002-06-03 2009-11-17 Research Affiliates, Llc Non-capitalization weighted indexing system, method and computer program product
US7383218B1 (en) 2002-07-31 2008-06-03 Charles Schwab & Co., Inc. Method and system for integrating investment advice with financial account statement information
US7949592B1 (en) 2002-07-31 2011-05-24 Charles Schwab & Co., Inc. Method and system for integrating investment advice with financial account statement information
US7860774B1 (en) 2003-10-31 2010-12-28 Charles Schwab & Co., Inc. System and method for providing financial advice for an investment portfolio
US7844527B2 (en) 2005-08-30 2010-11-30 Pensiondcisions Limited Method and system for measuring investment performance
US8341066B2 (en) 2006-11-02 2012-12-25 Preston Jr John E System and method for determining optimal investment strategy
US8266038B2 (en) * 2007-11-28 2012-09-11 Sapere Ip, Llc Methods, systems, and computer program products for providing low risk portable alpha investment instruments
US20120016787A1 (en) * 2007-11-28 2012-01-19 Scott Patrick Trease Methods, Systems, and Computer Program Products for Providing Low Risk Portable Alpha Investment Instruments
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