Purpose

This template exposes the portfolio risk behavior by comparing it to a benchmark and to a rebalancing (current vs proposed). Both portfolio and benchmark components must be inserted (identifiers) and their respected weights (nominals in case of some assets like bonds). Weights should be inserted as well. They are not used in the functions but serve in the aggregation tables (and graphs). Categories are like taxons. It can be anything. In this template, only “relative” measure type is available. Current and Proposed portfolios can have the same positions or different ones. Their allocations may differ as well.

Structure

The tabs have dependencies on each other and constitute logical progress.

  • Inputs: identifiers (required); weights (required); categories (taxons that can be segments, TAA etc) (required); portfolio currency (required); prices; countries; portfolio size.
  • Aggregate View: This is the Portfolio view. Risk measures and stress scenario impacts are displayed on the portfolio level. They are also tables that aggregate the allocations and contributions per type, sector, country, and currency. Suitability check is possible thanks to the PRG analyzis and comparisons. You also have contributions and allocations relative to the benchmark.
  • Granular View: The measures are displayed at the position level. The content is dense, some grouped columns can be hiden. The goal is to provide all type of measures for a cross-asset portfolio. -Risk Factor Exposures: This tab contains the risk factor exposure function for all the assets present in the current portfolio. the result is a a breakdown of the sources of risk. For more details, check out (ElRISKFACTOREXPOSUREFULL).
  • Glossaries: In there, the content must remain unchanged. It is an informative tab in which are available the stress scenario lists and parameters with their explanations.

How to start?

You need to insert the data in the columns of the “Inputs” tab.

Portfolio benchmark look-through and categories matching

rebalancing_bench_port

Aggregate View - The result

rebalancing_profile_prg_rebalancing

To be noted: Asset proxy needs to be correctly inserted in the configuration file if non-covered assets are to be discovered. Once configured, the template will search for the proxy in this file. Beta proxy are then to be entered if the proxy match is not 1. (Asset Proxy configuration)