A portfolio analysis module now forms part of CTS

26. June 2015

It is with great pleasure that we are able to announce that we have completed another phase in the development of CTS, this in the sphere of support for private bankers. The new CTS module called Portfolio Analysis provides private bankers significant assistance in their work at branches or in situ. The new module supports the analysis of performance and portfolio risk, and compares these outputs with various differently defined investment strategies or benchmarks. 

The module uses the following analytical tools and techniques:

  • Modern portfolio theory – the performance and portfolio risk is calculated using a statistical model, and maximum value at risk can be stipulated for a given period of time and level of probability. Outperformance against the market (alpha), the correlation of the development of the portfolio value with market developments (beta), and the return per unit of risk (Sharpe ratio) can be stipulated based on a benchmark comparison. This type of analysis allows for an understanding of the risk of a given portfolio and a comparison with the market.
  • Attribution analysis – this allows for an evaluation of the profit or loss of a given portfolio caused by the difference in the composition of assets against the given investment strategy, both on the level of asset category (type of security, currency, state or sector) and the selection of individual instruments in the category in question. This type of analysis is used to evaluate how successful an investment strategy was and what its strong and weak points are. Above all it allows for an evaluation of the investment decision of a private banker managing the portfolio.
  • What-If analysis – this makes it possible to model different market development scenarios using a change to the market value of a given asset category (type of security, currency, state or sector) and to evaluate the impact on the portfolio's market value. In addition, it is possible to compare the result with the impact on the market value of the defined investment strategy or benchmark. This type of analysis makes it possible to reveal weak points in the composition of a portfolio that are manifest during price shocks on the market. 

Along with our CTS WEB application, this module provides significant support for the sale of investment products.