StatPro Revolution - Analysis Overview

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1 StatPro Revolution - Analysis Overview DEFINING FEATURES StatPro Revolution is the Sophisticated analysis culmination of the breadth and An intuitive and visual user interface depth of StatPro s expertise in Comprehensive instrument coverage and simple data integration performance measurement, The ability to securely share portfolio analysis information to anyone attribution and risk management. Straightforward reporting, extraction and distribution capabilities Building on over 20 years of Incredibly fast implementation time intellectual property, StatPro Revolution delivers complex PORTFOLIO ANALYTICS AVAILABLE INCLUDE: analytics in a simple way so you Performance get the most value from your Equity Attribution portfolio data. Fixed Income Attribution Asset Allocation Contribution Risk Portfolio Cloning Custom Classifications, benchmarks and securities Portfolio Aggregates and carve-outs Reports Best Buy-Side Risk Management Initiative over the Last 12 Months Winner StatPro

2 Performance StatPro Revolution uses true time-weighted performance that shows the performance of the whole portfolio as the aggregate of all the underlying assets, enabling forensic analysis of any aspect of your portfolio. The purpose of StatPro Revolution is to help you explain how you have performed both internally and externally and it can do it for any type of portfolio. For example the Performance dashboard, as well as all other StatPro Revolution analytics, fully support long/short portfolios. The Performance section provides a full set of portfolio statistics, as well as seasonality snapshots. In addition to line graphs and stats, Performance analyses visually display your Risk vs Return trade-off by any classifiers (such as sector or currency). StatPro Revolution also offers heat-map graphs showing time-weighted size and return of a given position over time. Equity Attribution Following standard Brinson methodology, Equity Attribution breaks down a portfolio s relative performance into Allocation, Selection, Currency and, optionally, Interaction. StatPro Revolution gives the choice between arithmetic (GRAP) and geometric calculations in both securities local currencies and in portfolio base currency. Our top-down analysis supports both singlelevel and multi-level attribution along with an advanced currency overlay feature giving you the complete picture of performance drivers. Equity Attribution provides relative weight and attribution snapshot over selected period of time, as well as historical time series of allocation, selection, and contribution. This unique feature presents a visual snapshot of attribution history, allowing you to zoom in on the periods of their particular interest. In addition to comparing portfolio performance against the benchmark, StatPro Revolution also allows running attribution analysis of two portfolios against one another, highlighting differences in performance and investment decisions. For true stock pickers bottom-up attribution is also available. Following the investment process of a traditional stock picker, bottomup attribution decomposes the relative return into addition effect, overweight effect, underweight effect and exclusion effect.

3 Fixed Income Attribution StatPro Revolution is one of very few systems offering full Fixed Income Attribution. StatPro Revolution captures the performance of fixed income portfolios (or fixed income sections of balanced portfolios) and breaks it down into four main segments: Carry, Spread, Yield Curve contribution and Currency contribution Carry represents the contribution received from the coupon payments of the bonds held in the portfolio during elapsed time. Carry contribution is broken down into two parts systematic and specific carry. Systematic carry can be described as the carry that would be obtained from investing on the yield curve. Specific carry can be described as the added return for undertaking risk Spread is determined by the difference between the portfolio and the yield curve between the two different periods.. Yield curve contribution decomposes the contribution of changes of the shape of the yield curve over time to portfolio return. This can be decomposed into Parallel, Non-parallel, and Roll-Down. The currency contribution is the gain/ loss made on foreign exchange rates if the portfolio is multicurrency. Remaining consistent with Equity Attribution, Fixed Income Attribution Dashboard also offers a historical graph of fixed income attribution components and their contributions. To perform fixed income attribution a set of risk numbers are required. StatPro Revolution comes fully loaded with risk numbers that can be aligned to clients prices when required. Risk numbers include Time to Maturity, Yield to Maturity, Modified Duration, Spread Modified Duration and Convexity. In addition to attribution, the Fixed Income dashboard also offers a full set of Fixed Income Exposure scenarios, measuring the impact of interest rates, credit spreads, and inflation changes on the portfolio. Asset Allocation The asset allocation dashboard provides an overview of portfolio asset breakdown by a wide range of classifiers including custom classifiers. Allocation can be analyzed in relative (against the benchmark) or absolute terms. The dashboard presents a snapshot of weights on a chosen day (usually the present day), change in weights over time, as well as changes in percentage allocation over time. Contribution The Contribution dashboard provides a detailed, visual breakdown of how much a given sector, or individual positions within that sector, contributed to the overall portfolio return over time. This unique, visual representation of position sizes and their contributions, provides an added layer of transparency and insight into what investment decisions turned out to be most profitable over time.

4 Risk Building upon expertise and methodologies developed during years of creating sophisticated risk measurement products, StatPro Revolution offers a multi-asset risk tool. It offers historical simulation-based VaR (Value at Risk) estimates at custom timeframes and confidence intervals with detailed segment- and stock-level breakdown. StatPro Revolution can also store the history of your portfolio s ex-ante VaR, generating a trend line of Value at Risk at selected confidence intervals. The estimated dispersion of ex-ante returns is also shown visually, giving instant overview of distribution, including fat tails. In addition to VaR, the engine calculates Expected Shortfall (CVaR), Expected Upside and Diversification Grade for all portfolio sectors and constituents. Another great feature of the Risk dashboard is the expanding library of risk scenarios (stress tests) that can be applied to the portfolio, gauging both cash and percentage impact on market value. Each scenario can then be looked at in more detail, showing impact on segment and individual security level. Risk Limits Monitoring Regulation is putting pressure on asset managers. One of the most important events in the regulatory landscape has been the implementation of AIFM Directive in StatPro s risk limits and commitment leverage monitoring module calculates the commitment exposure of a portfolio, satisfying the complex rules designed for derivative instruments, including pre-defined UCITS and AIFMD (Annex IV) reports. Key features of this module include: Calculation of UCITS-AIFMD commitment numbers delta, time to maturity, interest rate duration and equivalent underlying asset position Commitment leverage including after FX netting, IR duration netting and exclusions Automatic flagging of commitment rules and possibility for users to override their own decisions and underlying exposures Award winning liquidity risk and liquidity stress calculations and analysis Clean back-testing monitoring with evidence of breaches (expected, allowed, observed) in both graphical and tabular view Ability to set customizations across different portfolios in terms of analysis settings, limits and early warnings, leverage monitoring, and stress tests Stress testing and sensitivity analysis with access to over 1,300 pre-defined stress scenarios and sensitivities pooled by StatPro key clients Automatic generation of reports/analyses/ data extracts with three solutions; Revolution-i, MS Excel Add-in, and our Web API

5 Portfolio Cloning Portfolio cloning allows you to duplicate an existing portfolio with all its holdings. The cloned portfolio can be used for 2 types of analysis: What if scenarios: Cloned portfolio s constituents can be edited and modified (also retroactively), showing what return the portfolio would have generated in the alternative scenario. The original portfolio could serve as a benchmark for the clone, showcasing whether hypothetical past decisions would have generated profit or loss compared to the actual, invested portfolio. Manager s added value : Portfolio cloning allows you to make a static copy of an original portfolio s holdings as of a chosen date (e.g. beginning of the year) and run it against the original portfolio. In this scenario the static portfolio reflects buy and hold strategy, while the original one reflects more dynamic, fund manager-driven strategy. By comparing two series of returns against one another, it would be clear and quantifiable whether the fund manager has indeed added some alpha to the fund (and how much). With growing scrutiny of fund fees, driven in no small part by fund managers compensation, a clear measure of manager s added value is indispensable to both investors and compensation committees. Custom classifications, benchmarks, and securities In times of growth in exotic, hand-priced and over-the-counter securities, it is important to be able to capture the performance and contribution to a portfolio in full. However, some of these instruments might not have observable, market prices, due to illiquidity or their highly-custom, structured nature. StatPro Revolution fills that gap by allowing the upload of custom securities with custom prices, which can then be used in a portfolio the same way as a regular security trading in the market. This way portfolio performance can reflect 100% of its holdings, and avoid any performance gaps. In addition to custom securities, StatPro has created multiple options for creating custom benchmarks: they can be uploaded as regular holdings-based portfolios, as top-line only performance data, or built as a blend of market benchmarks using the Target Allocation Benchmarks functionality. StatPro Revolution users can also use their own, custom classifications, in addition to the standard market classifications available in the system.

6 Portfolio aggregates Portfolio aggregation allows grouping of individual portfolios into superportfolios for aggregate analysis purposes. The underlying idea is that just like analyzing individual securities in the portfolio will not convey the full information about the portfolio, analyzing an individual portfolio might not convey the full information about a mandate or company-level investments. Portfolio aggregate is in principle a regular portfolio, with positions being the sum of positions of the constituent portfolios. Portfolio aggregate stores the breakdown of positions by constituent portfolios, rather than simply adding the securities up. Carve-out is a portion of a portfolio that is, by itself, representative of a distinct investment strategy. Carve-out allows you to isolate a chosen segment of your portfolio (such as all bonds, all equities in the IT sector, or all assets denominated in EUR) and analyze it thoroughly as a separate, stand-alone portfolio linked to its parent portfolio. You can also analyze your entire portfolio excluding the selected segment (e.g. all equities ex- IT sector, all instruments ex-bonds etc). Reporting, data extraction and Web API All of the analysis described above is available in a wide-array of multi-lingual reports which can be customized with the client s name and disclaimer. StatPro Revolution has a built in library of over 28 reports (both PDF and Excel) focused on specific analysis or portfolio types. Reports can be batch run allowing you to create multiple reports per portfolio or multiple portfolios per report. Reports can then be downloaded directly from the system. As an alternative to creating reports directly within StatPro Revolution itself, we also have a reporting app called Revolution-i. This locally installed smart app connects to the StatPro Revolution platform and allows you to extract calculated data into a variety of data and report formats including MS Word, Excel, XML and SQL. A StatPro Revolution-i subscription includes five interactive user licenses and one batch license allowing you to schedule data extractions whenever it suits your workflow. StatPro Revolution clients have free access to our powerful Web API. This allows you to programmatically extract data from the platform into your local applications or data warehouses. We are constantly adding new measures to the API allowing you to extract many types of calculated data items across any of the portfolios in your subscription.