portfolio management and risk analytics · portfolio management: thearles ch river manager...

Charles River IMS Portfolio Management

and Risk Analytics

https://www.crd.com/solutions/portfolio-management-and-risk-analytics/

Charles River Portfolio Management and Risk Analytics

Portfolio Construction

Exposures & Sensitivities

Risk Management

Scenario Analysis

Performance & Attribution

Multi-Asset Coverage Asset Valuations Analytics & Managed Data

Foundations

Portfolio Construction, Optimization and Analysis •Analyzeaccountscontainingdifferentcurrenciesandinstruments,managedtodifferentmandates •Constructportfoliostoalignwithinvestmentguidelinesandoptimizeportfoliocomposition • ManageLiabilityDrivenInvestmentmandatesandstrategies

Analyze and Understand Exposures and Sensitivities •Viewportfolioexposuresacrossmultipledimensionsandcustomclassifications •Proposetradestobringexposuretotargetlevels,andseeexposuresadjustinreal-time •Analyzesensitivitiestorate,creditandinflationriskfactorsatportfolioandcategorylevels

Model, Measure and Manage Portfolio Risk •Decomposeriskatportfolioandcategorylevelsintosystemicandidiosynchraticrisk •ManagetotalportfolioriskusingValueatRisk(VaR),conditionalVaRandcomponentVaR •Providethefrontandmiddleofficewithasingle,consistentviewofrisk

Scenario Analysis, Stress Testing and Trend Analysis •Modelportfoliostressfactors:interestrateandFXshifts,creditspreadchanges,andinflationshocks •Leveragefactormodelstopredicthowfactorshiftsimpactthescenariobasedonfactorcovariances •Applystressfactorshiftsandvisualizeportfolioandbenchmarkimpactsoveranytimehorizon

Performance Measurement and Attribution •Viewhistoricalperformanceacrossanytimeframetoevaluateportfolioconstructiondecisions •Selectattributionmethodologybasedonbusinessneeds;applyatglobal,accountorreportlevels •Analyzeex-postrisktoverifythatinvestmentdecisionsalignwithriskmandate

Analytics, Valuations and Managed Data • Globalinstrumentandanalyticscoverageandmanagedreference,pricing,indexandbenchmarkdata •Industrystandardcomputationalmodelshelpensureaccuratevaluations •Managedpricing,benchmark,corporateactionsandreferencedataservices



Risk Management

Scenario Analysis


Foundations

A Complete Solution for Portfolio ManagersCharlesRiverPortfolioManagementandRiskAnalyticscombinesallofthenecessarycapabilities,data,analyticsandbenchmarksneededtoeffectivelymanagelargemulti-assetportfolios.Thesolutionprovidesassetmanagerswith:

•Portfolioconstructionandanalysis

•Ex-anteriskmodelingandex-postriskmeasurement

•Scenarioandtrendanalysis

•Performancemeasurementandattribution

•Pre-packagedworkflowsandstandardizedinterfaces

Thescalable,cloud-basedinfrastructurehelpsensurebuy-sidefirmscanhandlecomplexmulti-assetportfoliosaswellaslargebenchmarks.Nativeanalyticsandahighperformancemodelingengineallowportfoliomanagerstogenerateriskforecastsandanalyzescenariosinreal-time.

Buy-sidefirmscanreplacemultiplesystemswithasinglesolutionthatsupportsallinvestmentproductsandassetclasses,andprovidesthefrontandmiddleofficewithaconsistent,enterprise-wideviewofriskandperformance.

InstitutionalassetmanagerscanimplementtheirentireinvestmentprocessonCharlesRiverusingacommonsetofdataandanalytics,andcanincorporatethird-partyriskmodelsandbespokedatasourcestosupporttheirstrategiesandproducts.

CharlesRiverhelpsinstitutionalinvestmentmanagers:

•Morereadilyunderstandriskswithasingle,enterprise-wideviewofcounterpartyexposuresandriskmetrics

•Respondfastertomarketopportunitiesandmakemoreinformedallocation,targetingandhedgingdecisions

•Increaseportfoliomanagerandanalystproductivitybyprovidingacompletesetofcapabilitiesthatstreamlinetheinvestmentprocess

•Eliminatedisparatesystemsbymanagingallproductsonasinglesolution

•Leveragethelatestcapabilitiesandriskmodelswithcloud-baseddeployment

Construct, Analyze and Optimize Multi-Asset PortfoliosCentralizedportfoliomanagementcapabilitiesprovideviewsofexposuresandholdings,soportfoliomanagerscan:

• Seetheimpactofassetallocationandde-riskingdecisions

• Constructportfoliosthatalignwithinvestmentguidelines

• Understandeventhemostcomplexcomplianceandriskguidelinesandreadilyadjustproposedallocations

Managerscanoptimizeanumberofportfolioattributesdirectlyfromtheportfoliomanagementworkspace.Attributesincludethedesiredlevelofturnover,trackingerrorranges,andthedesirednumberoftransactions.Portfolioscanbetiltedtowardspecifictargetsforanynumberofuser-definedvariablesorsecuritygroupings.Hardconstraintscanbeappliedinabsoluteterms,relativetoabenchmark,orrelativetotheinitialposition.Bothmarketneutralandunevenlong/shortstrategiescanbeoptimizedasasingleproblem,eliminatingtheneedtoperformseparateoptimizations.TheoptimizercanusefactorsderivedfrombothCharlesRiver’sstandardmodelsandthird-partymodels.

CharlesRiveralsosupportshistoricalanalysis.Portfoliomanagerscanviewhistoryintermsofholdings,and/orperformtrendanalysis.Forexample,afixedincomemanagermaywishtoseehowtheywerepositionedactivelyagainstabenchmarkintermsofexposureandduration;thisanalysiscanbeperformedviathehistoricalviewsandchartedforvisualeffect.

View portfolio characteristics by asset type and exposure versus benchmark by issuer.


Analyze each asset type’s contribution to duration

Screenshots are for informative purposes only; no live data being used.

Construct and Manage LDI Driven StategiesLiability-DrivenInvestment(LDI)strategieshelpinsurersandpensionsmanageassetsbasedonthecashflowsrequiredtofundfutureliabilities.Thesestrategiesmayincludematchingthecashflowsofassetswiththecashflowsofliabilities,ormatchingtherisksensitivitiesofbothassetsandliabilities,sothatassetscanstillfundliabilitiesifmarketconditionschange.Thesecapabilitieshelpassetmanagersminimizeaportfolio’sliquidationriskbyensuringassetsales,interest,anddividendpaymentscorrespondwith

expectedpaymentstobeneficiaries.

TheCharlesRiverInvestmentManagementSolutions(CharlesRiverIMS)usesa“LiabilityInstrument”tostreamlinemodelingofcashflows.ThefollowingcapabilitiessupportLDIworkflows:

LIABILITY BENCHMARKS: Usersassignaliabilitybenchmarktotheirrespectivefunds.Thesebenchmarkscontaintheliabilitiesthatcorrespondtothefund.

LIABILITY MAPPING: Userscandefineliabilitiestobeeithernominalorinflation-adjusted.Inflationadjustedliabilitiescanbemodeledbasedonanimportedsetofrealand/orinflationadjustedcashflows.

FLEXIBLE ANALYTICS: Liabilityvaluationscanbeproducedrelativetoasetofactuarialcashflowsdiscountedrelativetotheappropriatecurve(e.g.,IRScurve)andspread.Userscanspecifytenorsetsensitivitiesfortheassetportfolioandtheliabilities.Thesetsfeature:

•Flexibletenordefinitions•Abilitytogenerateinterestrateandinflationsensitivitiespertenor•Abilitytolinkinterestratetoinflationsets

PORTFOLIO MANAGEMENT: TheCharlesRiverManagerWorkbenchenablesuserstoefficientlymanageaportfolioofassetsandliabilities.Portfoliomanagerscandisplayliabilitysecurities,calculateandshowfundingratios,andgeneratearangeofanalyticsbytenor,includingPV01,DV01andIE01.Thissupportsstandardhedgingandtargetingworkflows,forexample,hedgingapositionanddeterminingfundingratioimpact.

SCENARIO ANALYSIS:CharlesRiverScenarioAnalysissupportstheabilitytoshiftthemarketfactorsthatarerelevanttoliabilities(e.g.,interestrates,inflationandspreads).User-specifiedshiftsareappliedtoallrelevantcurves,liability,andassetattributesinordertoobtainascenariospecificsetofvaluations,analyticsandcashflows.

Fromafundmanagementperspectivethisallowsaportfoliomanagerto:

•Viewfundingandhedgeratiossubjecttovariouseconomicenvironments•Performcashladderanalysisrelativetotheirliabilities•Analyzechangesinvaluationsandsensitivitiessubjecttoregimechanges

Forstresstesting,liabilitiescanbeproxiedorusedinfactorscenariosiffactorexposuresareavailable.

COMPLIANCE MONITORING: Compliancerulescanbebasedonportfoliolevelanalytics,tenors,andfundingratio.

Liability Driven

Investing

Analyze and Understand Exposures and SensitivitiesPortfoliomanagers,complianceofficers,andriskmanagerscancalculate,manage,andmonitorriskacrosstheentireinvestmentlifecycle.Assessmentsofportfolio,market,andsectorriskarecalculatedusingasingle,consistentsetofdata,eliminatingthepotentialforconflictingorquestionableresults.

Managerscanviewportfolioexposuresacrossmultipledimensionsandcustomclassifications,proposetradestobringexposuretotargetlevels,andseeexposuresadjustinreal-time.Tradescanthenbegeneratedandroutedtotheappropriatetradingdesk.Thesolutionletsmanagersandanalysts:

• Analyzesensitivitiestorate,creditandinflationriskfactorsatportfolioandcategorylevels

• Proposechangesandanalyzeresultsofde-riskingdecisionspre-trade

• Modelandhedgeportfoliosusingthelatestmarketdata

• Optionallyincorporatebespokeand3rdpartyanalytics

• Utilizeindustry-standardderivativevaluationmodels

Aggregate account exposures by key rate duration and compare current exposures to benchmark.



Assess Forward Looking RiskCharlesRiverimplementsthreeex-anteriskmeasuresthathelpmanagersassessforward-lookingriskandadjusttheirportfoliosaccordingly:

VALUE AT RISK (VaR)useshistoricalsimulationtocalculatetheworstcaselossoveragiventimeperiodthatwon’tbeexceededwithagivenlevelofconfidence.

CONDITIONAL VaR,orexpectedshortfall,quantifiesthepotentiallossoncetheVaRthresholdhasbeenexceeded.

COMPONENT VaRletsportfoliomanagersquicklyvisualizehowmuchaparticularsector,categoryorsecurityaddsorsubtractstotheiroverallVaRsotheycanreduceorhedgethoseexposures.

Adjustmentsareimmediatelyreflected,helpingmanagersvalidatetheirdecisionandunderstandportfolio-levelimpacts.Historicalsimulationisarobust,non-parametricmethodforcalculatingVaRthatmakesnoassumptionsabouttheunderlyingdistributionofriskfactorsorreturns.VaRcalculationscanincorporateeitherexponentialdecaytoweightrecentdatamoreheavily,orstressedconditionstoproducerealisticworst-caseforecasts.Replacementsecuritiescanbeutilizedtoaccountformissingdata.

CharlesRiveralsosupportsriskforecastsbasedonfactormodels,includingprojectedvolatility,trackingerror,andbeta.FirmscanutilizeCharlesRiver’sproprietaryfactormodelbasedonPrincipalComponentsAnalysis(PCA),orincorporatein-houseandthirdpartymodels.

Instrument Type VaR Simulation Inputs

Equities Individual securities’ historical returns, including corporate actions

ETFs, Mutual Funds and other basket securities

Either the baskets’ historical returns or the look-through returns of the underlying instruments

Fixed Income and Derivatives Delta-Gamma method: Utilizes sensitivities to risk factors such as yield curves

VaR simulation engine inputs by asset class.

Understand Risk in a Historical Context PortfoliomanagerscanmonitorchangesinhistoricalVaRandex-postriskmetricsovertimeandanalyzetheevolutionoftheirportfoliousingtrendanalysis.Thisprovidesinsightintowhetherchangestorisklevelswereanticipatedanddesired,orwhethertheywerearesultofincreasedriskexposuresthatshouldhavebeenmanagedandreduced.Thedisplaysarealsoactionable,sode-riskingactivitiescanbecarriedoutandreflectedinrealtime.

Risk Management

Component VaR displays how much a particular sector or category impacts overall VaR.


Model Historical and Hypothetical Stress ScenariosCharlesRiver’sScenarioAnalysiscapabilitiesareusedtomodelportfolioimpactsofoneormorestressfactors,includinginterestrateandFXshifts,creditspreadchanges,inflationshocks,andequitymarketmovements.

STRESS TESTINGappliesscenariosmandatedbyregulatoryauthoritiestomodelpotentialoutcomesandgaugeworst-casedrawdown.

HYPOTHETICAL SCENARIO ANALYSISallowsmanagerstoconstructandapplyaplausiblescenariobasedontheirportfolio’sriskexposures,reflectingthefullimpactofunderlyinginstruments,includingderivatives,andtakingintoaccountallportfolioandcashevents.

HORIZON ANALYSIS appliesshiftsandthendisplaysportfolioperformanceoverahorizontermrangingfromdaystoyears,basedonareinvestmentrateforanycashflowsreceived,includingcouponpayments,maturities,andcallable/puttablebondsthatwouldbecalled/putwithinthatterm.

Instrument Type Methodology

Fixed rate bonds Interest rate shift is applied to the spot curve and credit shift to OAS.

Floating rate bonds Interest rate shift is applied to both the index and the discount curve, and credit shift to OAS.

Inflation linked bondsInterest rate shift is applied to discount curve and credit shift to OAS. Inflation shift is applied to either an inflation swap curve or a constant inflation rate assumption.

Mortgages and other asset-backed instruments

Scenario analysis is performed using the Yield Book calculation engine, via real-time integration.

Interest rate swapsEach leg of a swap can be shifted independently, including accrual and discount curves. Credit shifts do not apply.

Bond futuresInterest rate shift is applied to the yield curve. Credit shifts do not apply. Daily mark-to-market is ignored for horizon analysis; cheapest-to-deliver bond is assumed to remain unchanged throughout the life of the future.

Interest rate futuresInterest rate shift is applied to the yield curve. Credit shifts do not apply. Daily mark-to-market is ignored for horizon analysis; futures are converted to cash at the futures’ expiration date, including any gain/loss on the contract.

Bond and interest rate options

Interest rate shift is applied to the underlying future.

Forward rate agreementsInterest rate shift is applied to the yield curve. Credit shifts do not apply. For horizon analysis rate of return calculations, fair value is centered on 100.

Currency futures and forwards

FX shifts are applied to the FX forward curves.

The following methodologies are applied when evaluating scenarios:

Details of portfolio impact of stressed scenarios, broken down by sector.

Scenario Analysis


Measure Portfolio Performance and AttributionPortfoliomanagerscanviewhistoricalportfolioperformanceacrossanytimeframeandunderstandtheportfolioconstructionandassetselectiondecisionsresponsibleforthatperformance.Userscanchangeperformanceorattributionsettingsontheflyandrundifferentanalysesforthesameaccountacrossassettypes,downtotheindividualsecuritylevel.Performanceresultscanbeconvertedtoanycurrencyandcustombenchmarkscanbecreatedbyimportingandblendingcategory-orconstituent-levelindices.

Managerscan:

• Measureperformanceusingeithertime-weightedormoney-weightedmethodologies,configurableattheaccountlevel

• Calculatemultiplereturntypes,includingcapital,income,base,local,currency,grossand net

• Rollupperformancetoanylevel,includingmultiplenestedclassifications,totalportfolio/benchmark,accountgroupsandcomposites

• Choosetheattributionmethodologythatbestsupportstheirbusinessneeds,andconfigurethemethodologyatglobalsystem,account,orreportlevels

Attributionmethodologiesandmajorcapabilitiesinclude:

• Dailyattributionbyassetstyle,includingcurrency,fixedincomeroll,duration,convexityandspreadeffects

• Rollupattributionstomultipleclassificationlevelsforeachsecurity,includingdomicile(region,country,currency)andsector(industryorsub-sector)

• Automatedrule-basedworkflowsforcompositeconstructionandmaintenance

• Extensiveaudittrailreducesthird-partyverificationcosts

• EquityattributionmethodsincludeBrinson-Hood-Beebower,Brinson-Fachlerand Karnosky-Singer

• FixedincomeattributionmethodsincludevanBreukelenandTimLord-styledbreakdowns(income,roll,duration,convexity,spreadallocationandselection,currency)

Risk- adjusted performance measures can be viewed at account and position levels.

Understand Risk-Adjusted Performance Performanceriskanalysisquantifieshowmuchriskwasrequiredtoachievehistoricalportfolioreturns.Thisenablesportfoliomanagerstoensuretheirrisk/returnratioalignswiththeirriskguidelinesandInvestmentPolicyStatementsandprovidesvisibilityintohowcloselytheytracktheirbenchmark.Supportedriskmeasuresinclude:

ABSOLUTE AND RELATIVE SUMMARY RISK MEASURES:alpha,beta,Sharperatio,TreynorratioandSortinoratio

EX-POST RISK MEASURES: beta,informationratio,trackingerror,volatilityandvariance



Global Multi-Asset Coverage TheCharlesRiverDataServiceprovidesmanagedreferenceandpricingdatatosupportbroadanddeepglobalcoverageacrossallassetclasses.Frequentupdateshelpensurethatnewinstrumentsaremadeavailabletoassetmanagersonatimelybasis.

Consistent and Accurate Asset ValuationsCharlesRiverprovidesahighlyperformantanalyticsengine;managedreference,benchmarkandpricingdata;extensiveglobalinstrumentcoverage;andindustrystandardcomputationalmodelsforaccurate,real-timevaluationsofallinstruments.

Firmscanstoreandcomparemultiplereference,analytics,andpricingsuppliersandsourcestomeettheparticularvaluationrequirementsoftheirinvestmentprocessandproductmix.CharlesRivermaintainsalways-currentmappingsfor1000+dataelementstosupportover120typesofbondsglobally.Continuousvalidationhelpsensurethataccruedinterestandcriticalanalyticsarecalculatedcorrectly.

•GlobalGovernment:Over100jurisdictions/sovereigns•SecuritizedProducts:MBS,ABS,CMBSandCMOs•TreasuryandSwapcurve-basedanalytics,swapcurvesin14currencies•Corporate:GlobalInvestmentGrade,HighYield,andBankLoans•StructuredProducts:FixedRate,FloatingRate,Fixed-to-Float,Stepped,PIK,Callable•Municipals:Comprehensivestatecoverage•InflationLinked:Over20countries•Currencies:SpotandForwardsfor174basecurrencies•Futuresforover3200commodities

Fixed Income, Currencies and Commodities (FICC)

•CommonStock,Closed-EndFunds,ETFs,ADRs,REITs,ConvertibleBonds•DevelopedandEmergingMarketsin160countriesand72currenciesEquities

•ExchangeTraded-BondFutures,InterestRateFutures,CurrencyFutures,EquityIndexFutures,OptionsonFutures,EquityOptionsandEquityIndexOptions•OTCRateandCredit-InterestRateSwaps,InflationSwaps,AssetSwaps,FRAs,Caps/Floors,Swaptions,CDS,CDX/iTraxx,TRS-Bond,CDS/CDXSwaptions•OTCOther-TRS-Equity,Variance/VolatilitySwaps,FXForwards,FXOptions,CommoditySwaps

Derivatives

Multi-Asset Coverage

Asset Valuations

Analytics & ValuationsCharlesRiversupportsbothnativelycalculatedandthird-partyanalyticsforbonds,derivatives,mortgages,andasset-backedsecurities.Nativelycalculatedanalyticsarecompatiblewithmajorindexanalyticsacrossallassettypessuchthatcomparisonstobenchmarkscanbeperformedaccurately.Thiseliminatestheneedforexternalindex-provideranalyticssystems.However,externalanalyticscanbeimported,andselectivelymixedandvalidated.

Category Analytic(s)Trade-level Price, yield, accrued interest, projected cash flows, factor, spread to benchmark

Sensitivities Duration, modified duration, convexity, DV01, mortgage-specific sensitivities

Derivative-related Option greeks, credit DV01, inflation DV01, par swap rate

Advanced Option adjusted spreads, I-spread, Z-spread, fair value, spread duration, spread convexity, key rate durations

Native analytics calculated using the embedded analytics engine.

Instrument Type Methodology

Bonds1-factor Hull-White modelBlack Karasinski with configurable volatility and mean reversion parameters

OptionsBlack Scholes or binomial tree for European optionsBinomial tree for American or Bermudan optionsDividend yield or projected discrete dividends

CDS Basket1-factor Gaussian copula for homogeneous basketsNormal copula for non-homogeneous baskets

CDS Index TrancheMonte CarloFast Fourier TransformRecursion method

Swaptions Black model with lognormal volatility

Inflation Swaps Accruing on inflation swap curves, discounting on LIBOR/Swap or OIS

Interest Rate SwapsDiscounted cash flows with different principal exchange conventions Supporting different accrual (forward) and discount curves – e.g., accrual on LIBOR/Swap and discount on OIS

Variance & Volatility Swaps Discounted cash flows, Heston, and Options Portfolio Replicating methods

Representative technologies utilized to calculate analytics.

MORTGAGE PASS-THROUGH SECURITIES AND TBA’S: Trade-timeanalyticsandmortgagedurationandconvexityarecalculatednatively.CharlesRiverprovidesaninternallydevelopedmodelthatusessecuritycharacteristics,suchasWALAandWAC,andmortgageratescenariostoestimatefutureprepaymentrates.

ASSET-BACKED SECURITIES: InstrumentcoverageincludesRMBSandCMBS,agencyandnon-agencyCMOs,fixedandadjustableratemortgages,TBAsandotherasset-backedsecurities.Moresophisticatedpre-paymentmodelsaresupportedinCharlesRiverviatheintegratedYieldBookanalytics.Forexample,theCitiMortgagePrepaymentmodelincorporatesover12factors,includingaveragecreditscore,turnovereffects,refinancing,andloan-to-value.SupportedinterestratemodelsincludeLIBOR-Market,2-factorskewand1-factorsinglevolatility.

Usersalsohavethecapabilitytorecalculateanalyticsforspecificcomponentsoftheirportfoliosshouldunderlyingmarketactivitydictate.Analyticsarecalculatedusingindustrystandardmethodologies,andnewmethods(e.g.,dual-curvestripping)areaddedwhenindustrybestpracticeschange.

Analytics

CHARLES RIVER DEVELOPMENT, A STATE STREET COMPANY Investment firms, asset owners, wealth managers, hedge funds and insurers in more than 30 countries rely on Charles River’s front and middle office investment management platform to manage more than US$30 Trillion in assets. Together with State Street’s middle and back office capabilities, Charles River’s software technology forms the foundation of State Street AlphaSM. The Charles River Investment Management Solution (Charles River IMS) is designed to automate and simplify the institutional investment process across asset classes, from portfolio management and risk analytics through trading and post-trade settlement, with integrated compliance and managed data throughout. Charles River’s growing partner ecosystem enables clients to seamlessly access external data and analytics, applications and liquidity venues that support the unique demands of their product and asset class mix. Headquartered in Burlington, Massachusetts, we serve clients globally with more than 975 employees in 12 regional offices. (Statistics as of October 2019)

WWW.CRD.COM

Charles River Development - A State Street Company is a wholly owned business of State Street Corporation (incorporated inMassachusetts).

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portfolio management and risk analytics · portfolio management: thearles ch river manager...

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