Portfolio Analyzer. Clearly communicating the. sources of performance

Transcription

1 Portfolio Analyzer Clearly communicating the sources of performance

2 P ortfolio Analyzer Powerful Tools for Evaluating and Explaining Performance With the rapid advancement of investment technology, data access and analytical power, portfolio managers and their clients expect clear assessments of risk and detailed explanations for portfolio performance. To answer this critical demand, Vestek developed Portfolio Analyzer, a powerful, flexible system for evaluating portfolio risk and return with precision and clarity.

3 Delivered in a convenient and secure online environment, this comprehensive analytic solution lets you monitor portfolio performance relative to a benchmark and identify when it strays from its investment objectives. You can review portfolio holdings, uncover sources of risk and attribute performance to specific factors. And it provides you with a set of clear, concise reports and graphs that illustrate your results and provide insights for future decisions. Armed with this information, you can more effectively discuss performance, strategies and management styles with clients, prospects and associates. Portfolio Analyzer supports your proprietary data through links with your custodian or accounting system. Our intuitive software lets you generate reports quickly and with a minimum of effort. You can use a broad market index, style index, custom benchmark or any other portfolio for comparison. And our models and reports give you the flexibility to specify any date range, incorporate your own data items and customize output for the most effective presentation.

4 PerformanceA ttribution Gain a clear understanding of portfolio performance Portfolio Analyzer s Performance Attribution Reports enable you to isolate specific factors, quantify the impact of individual investment decisions and monitor performance relative to a user specific benchmark over any period of time. The result is a clear understanding of the sources of your portfolio s performance. Components of Active Return Active Contribution (%) Sector Selection Security Selection Active Contribution Cum. Sector Selection Cum. Security Selection Cum. Active Contribution Sector-based Performance Attribution Using Vestek s Performance by Sector reports, you can evaluate portfolio performance by sector classification for any time period you specify. Choose the industry classification appropriate to your strategy, such as MSCI, FTSE, S&P, Russell, Lehman or your own custom groupings. Use these reports to: See at a glance how much of the return was achieved by over- or underweighting sectors. Pinpoint how selecting the right securities within a sector contributed to relative performance. Report attribution at any level portfolio, sector or holdings. Style Attribution Style performance attribution divides a portfolio into segments based on many quantifiable factors and breaks down the performance of each segment. Reports then detail what style decisions helped or hurt performance during a given time period. You can choose from a wide selection of factors from Vestek s US and global Alpha Factor Libraries. These alpha factors allow you to measure portfolio performance based on very precise measures of growth, volume, value, market liquidity, risk, earnings revision and technical behavior. Examples include Earnings Revision-Surprise, Cash Flow to Price, 18-Month Relative Strength and Historical Beta. With so many available alpha factors, you ll find a combination for every manager and every style. Contribution to Return Contribution to Return reviews on a security-by-security basis each asset s role in the return of the portfolio over a period of time you specify. Since the absence of a security in a portfolio can be as important to relative performance as its presence, this report pinpoints exactly where absence or underweighting helped or hurt performance the most.

5 PortfolioP rofile Analyze the structure and characteristics of a portfolio Portfolio Profiles provide you with a detailed survey of an equity or fixed income portfolio s structure and characteristics on any given date. Choose Vestek s comprehensive report format, design one that suits your needs, or compare multiple portfolios simultaneously. Vestek Profile: a comprehensive analysis The Vestek Profile lets you compare a portfolio to two user-specified benchmarks in terms of composition, index membership, attributes, and sector and industry weightings. With clear graphics, the Vestek Profile powerfully communicates the portfolio s structure in relation to the benchmarks. Attributes include dozens of measures in four categories: liquidity and concentration, risk, valuation, growth and momentum. Economic Sector Analysis Portfolio Benchmark 12 % of Portfolio Materials Industrials Telecom Services Consumer Discretionary Consumer Staples Energy Financials Health Care Information Technology Utilities Profile Reports: choose from a selection of formats, or design your own Our Profile Reports enable you to customize a report to compare a portfolio to any benchmark in terms of composition, attributes, sector and industry weightings and individual holdings. Profiles describe a portfolio at three levels: Profile Analysis compares the portfolio to a benchmark using more than 100 characteristics, such as beta, P/E, P/B, forecast earnings growth, yield, duration or convexity. You can easily incorporate custom and proprietary attributes into your analysis. Sector Analysis describes the portfolio s structure and compares it to a benchmark using classification systems based on economic sectors, industries and other characteristics. Holdings Analysis lists and sorts holdings, allowing you to display more than 60 characteristics for each security. Portfolio Comparison: see a cross-section of different portfolios or time periods Using Portfolio Comparison, you can evaluate characteristics over time or among funds by displaying characteristics and sector weightings for one or more portfolios or indices on one or more dates. With this tool, you can: Display one portfolio or index over time to show how its characteristics have evolved. Compare several portfolios to a benchmark or a model portfolio on one date. Compare a portfolio to a benchmark and display the differences. Display any combination of portfolios, indices and dates.

6 RiskAnalysis Identify the sources and magnitude of portfolio risk and return Risk Analysis uses a fundamental risk model to show how your investment decisions affect portfolio risk and return. Risk Profile Systematic Risk Specific Risk Common Factor Risk Portfolio Risk Profile The Portfolio Risk Attribution Report identifies the sources of a portfolio s risks relative to a user-selected benchmark. This report helps you evaluate how factors such as industry, value, growth and size affect your risk. It also provides a sensitivity analysis which can be used to help rebalance your portfolio. Performance Attribution Risk model-based performance reports attribute active return to factors such as industry, value, growth and size as well as security selection. The report identifies active bets and lets you see how decisions have paid off over time. In addition, it illustrates whether returns are consistent with the degree of risk taken. MarketEnvironment Evaluate the impact of investor trends Portfolio Analyzer s Market Information enables you to make a quick assessment of the market environment during the period being analyzed. For example, did the market favor growth or value? How did each economic sector perform? Were small caps in or out of favor? The answers are key to any discussion of the sources of performance. This robust set of applications and reports includes a wide array of benchmarks for evaluating market conditions.

7 VestekAdvantage Seamless integration, automated delivery Vestek eliminates the need to compile, update and reconcile portfolio information manually before it can be analyzed. A Vestek Portfolio Analyzer specialist will work with you to determine which types of analysis you wish to perform and at what intervals. We set up direct interfaces with your accounting system or custodian to obtain, reconcile and process portfolio data automatically, saving you significant time. Your analysis is then generated and delivered at the intervals you designate. Convenient, Controlled Access Vestek provides an easy-to-use and secure online means of distributing and reviewing reports. With Internet browser software and a connection to the World Wide Web, you have a convenient interface for viewing your reports any time, anywhere. You also have the options of or direct-to-desktop delivery. Vestek s Integrated Portfolio Analysis Solution portfolio a portfolio b portfolio c portfolio processing & asset validation portfolio analyzer profile attribution risk analysis print web delivery Direct Interface Save significant time with Vestek s seamless links to your accounting system or custodian. Automated Portfolio Analysis Generate reports automatically at intervals you designate. Analytic Publishing Choose among our flexible reporting options to produce high-quality reports & graphs.

8 A History of Innovation Since 1983, Vestek has been an innovator in applying technology to help investment professionals make more informed decisions. Our sophisticated analytic models and global data resources are used by some of the world s largest asset management organizations, including institutional portfolio managers, mutual funds, pension funds, master trust banks, analysts and consultants. These clients count on Vestek to analyze hundreds of thousands of portfolios per month. Whether assisting you with analysis, tailoring your reports or consulting on special projects, you ll find that Vestek s team of professionals has both the financial and systems expertise to provide the advanced solutions you need. Thomson Financial Thomson Financial provides e-information and integrated work solutions to the worldwide financial communities. Through the widest range of products and services in the industry, Thomson Financial helps clients in more than 70 countries make better decisions, be more productive and achieve superior results. Thomson Financial is part of The Thomson Corporation (TSE:TOC), a leading, global e-information and solutions company. For more information on Thomson Financial, visit S an Francisco headquarters 425 Market Street, 6th Floor San Francisco, CA 94105, USA Tel: Fax: B oston Chicago info@vestek.com New York London Tokyo