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Excerpt |
Portfolio Analyser |
ToolBox |
| Maker |
EMA |
Style Research |
OCCAM |
| Brief Description |
20 factor risk and theme model |
31 factor equity style analyser with over 20 standard graphs |
Use your data to calculate risks and covariances |
| Main Users |
groups constructing portfolios |
reporting on existing or proposed portfolio to management or
clients |
groups constructing portfolios |
| Suit Investment Process |
Index funds, active funds with specific alpha's |
incremental stock accumulation without formal alphas |
|
| Best Feature |
ability to connect with price feed to create
"live" information |
easy to understand and present graphs |
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Reporting Necessities |
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| Tracking Error Level |
Similar to BARRA |
Similar to BARRA |
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| Check on TE Accuracy |
na |
various simulations |
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| Risk Decomposition |
20 APT factors |
4 major factors - currency, market, sector,
style and stock |
|
| Beta available |
against benchmark, country, sectors and valuation |
against market or benchmark |
|
| Modify risk numbers |
available at stock, sector and market levels |
na |
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Extra Features |
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| Graphs Available |
Sector, Valuation, Tracking Error change for variation in
holdings |
Portfolio vs. Benchmark for: 31
Style factors; Country and
Sector
exposures; Size proportions and Style
distributions. Analysis
also adjusted for sector and country biases. Risk and active weight analysis. |
|
| Marginal Contribution to Risk |
available |
available |
|
| Contribution to Risk |
available |
available |
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| Stock Level Analysis |
marginal contribution to risk from Style,
Country and Sectors |
31 Style factors, sector and portfolio averages |
|
| Stock Data Supplied |
liquidity, momentum, size, yield, earnings price |
31 Style factors, stock prices, total market averages |
by user |
| Default Analysis Benchmark |
absolute space |
total market |
|
| Change sectors |
yes |
no |
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| Interactivity |
full, change weights or prices changes results |
re-run analysis on new portfolio |
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| Optimisation |
yes |
at fund level |
|
| Create own stocks (eg IPO's & unlisted) |
yes, user defines characteristics |
na |
|
| Staff requirements |
suitable for trained staff |
can be run by wide range of staff because of simple
operation |
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Other Features |
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| Used by consultants |
na |
Mercer, Standard & Poors, Watson
Wyatt |
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| Able to use MSCI/FT/Russell weights |
yes |
yes |
yes |
| Index Components included |
no |
yes |
no |
| Insert Your factor data |
yes |
limited |
yes |
| Compare multiple funds |
yes |
can build league tables |
no |
| Performance Attribution |
na |
yes, Brinson and Style Research methods |
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| Historical Simulation |
yes |
yes |
|
| Number of time periods covered |
current |
updated each month |
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| Use local exchange codes |
yes for Australia, and
Malaysia |
yes |
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Technicals |
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| Program Interface |
C++ |
|
Excel |
| Final Analysis available in |
Excel |
Excel |
Excel |
| Import portfolio from |
Excel |
Excel, CSV |
Excel |
| Factors updated |
quarterly |
monthly |
|
| Industry Sectors |
Worldscope |
FTSE/ICB and MSCI/GICS |
user defined |
| Source of data |
Worldscope |
Worldscope |
user |
| Batch Facilities |
na |
available to run all features |
|
| Countries Covered |
43 |
53 |
na |
| Global Stocks covered |
50,000+ |
45,000+ |
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| Single Country Models |
yes |
yes |
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| Regional Models |
yes |
yes, also user defined |
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| download a sample |
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