Soliam for portfolio management
Efficient support for daily portfolio management activities.
Portfolio decision support
• Simulation of impact of a single transaction – arbitrage
• Easy rebalancing based on SAA (Strategic Asset Allocation) vs TAA (Tactical Asset Allocation), model portfolio,
liabilities portfolio …
• Constraints pre/post trade
• 'One click' concept to access favourite research / tasks
• Decision-making based on multiple accounting standards
• Monitoring of portfolio by duration / time bucket and impact of rate shifts
Fig 1. - View of bonds portfolio by time bucket
Order management
• Investment guidelines used to define a model portfolio
• Management of constraints (pre and post-trade) – regulatory, in-house and client constraints
• Simulation of transactions and impact on the portfolio (accounting unrealised P&L, duration, ...)
• Extensive list of available transaction types
– Order type (prudent, bulk, rebalancing vs profile, buying back, …)
– Order limit and validity (GTD, GTC, FoK, GTX, ...)
• STP routing and order follow-up (SWIFT, FIX)
• Monitoring of transaction during the order life cycle
• Connection with brokers and custodians by SWIFT/ FIX or proprietary files
• Back Office module for reconciling transactions and custodian positions
• Monitoring transaction status in B/O and F/O
Fig. 2 - Transaction cycle from simulation to accounting
Compliance
• Compliance checks on
– Investment guidelines from client, company or group
– Regulatory guidelines
• Pre-trade compliance check
Fig. 3 - Pre-trade constraints
• Post-trade and reporting on demand (nightly by batch)
Investment accounting
• Accounting using multiiple accounting principles (Local, IFRS, US Gaap, …)
• Automation of end-period accounting : Re-evaluations, interest accruals, amortization, …
• Accounting management of portfolios ( Fifo, Lifo, Average Price, line Picking, Max/Min Result, …)
• NAV Calculation
• Integration of financial information (prices, forex, rates, indexes, …)
• Management of portfolio operations : transactions and Corporate Actions (coupons, splits, conversions, …)
• Periodic and operational fees
Performance and risk monitoring
• Multiple ways of monitoring performance (consolidated, time period, indicators etc.)
• Possibility to compare the portfolio with:
– Model portfolio
– Benchmark or customised benchmarks (composite)
– SAA vs TAA
– Peer groups
• Ad hoc or periodical reporting
• Extensive panel of risk indicators (volatility, duration, VaR, correlation, maximum drawdown, ...)
• Extensive panel of return indicators (TWRR, IRR, Skewness, Kurtosis, performance contribution and attribution, ...)
• Extensive panel of ratios (Sharpe, Sortino, Treynor, Information, ...)
• Monitoring of interest rate sensitivity by time bucket
• Simulate the impact of rate curve shifts
• Simulate the impact of a single transaction on global portfolio risk
• Selecting a position to be sold based on duration, rating, P&L, …
• Risk / return mapping (volatility, tracking error, XS returns, …) and comparison with benchmarks, peer groups, model
portfolio etc.
Risk / return mapping
Fig. 4 - Risk / return mapping
Duration by rating
Fig. 5 - Duration by rating
Reporting
• Ad hoc or periodical reporting available
– Tailor-made reporting (via DwH or the application)
– Standard reporting (accounting, regulatory)
