Portfolio Management

CTS Portfolio Management

Portfolio analysis functionalities are employed directly by a securities trader’s clients using a web interface or by private bankers and financial advisers during consultations with their clients. The functionalities for managing the allocation of assets in client portfolios can be used within private banking or asset management services as well.

Analysis of portfolio performance and risk

These functionalities enable you to make investment decisions on asset purchases and sales that are backed up by the following analytical models to help reduce risk or increase portfolio yield.

• Benchmarking - a benchmark or model portfolio can be built and assigned to each portfolio or portfolio group with which it can be compared in all analyses. The system makes it possible to compare the composition of assets according to their type, currency, region or industry, including graphical presentation or historical development of market value.
• Modern portfolio theory - this statistical model estimates the performance and risk of a portfolio based on the knowledge of the performance and risk of individual assets. Using the model, it is possible to determine the maximum possible loss (Value at Risk) for a given period and a probability rate. In comparison with the benchmark, it is possible to determine the level to which the portfolio outperforms the market (Alfa) or correlation between portfolio value and market development (Beta) or yield per unit of risk (Sharpe ratio). In particular, this type of analysis makes it possible to understand the risk of the portfolio and to compare it with the market.
• Attribution Analysis - allows you to evaluate for a given portfolio the gain or loss caused by the difference in the composition of assets compared to a given investment strategy, both at the level of asset categories (type of securities, currency, country or industry) and at the level of individual instruments in that category. This type of analysis is used to assess how successful the investment strategy of a portfolio has been, and where it has weaknesses and strengths, while also allowing the investment decisions of the private banker managing the portfolio to be evaluated.
• What-If analysis - allows you to model different market development scenarios by changing the market value of a given asset category (type of securities, currency, country or industry) and to assess the impact on the market value of the portfolio. 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 identify weaknesses in the composition of the portfolio, which will be reflected in price shocks on the market.

Asset allocation management

The functionalities enable collective management of asset allocations in individual portfolios based on the strategy assigned to the portfolio. The strategy is represented by a model portfolio, which is a virtual portfolio through which the strategy manager can define the current distribution of individual assets in that strategy.

If the strategy manager decides to change the model portfolio, they simply change the asset allocation in the model portfolio, and the system automatically generates buy or sell orders for each portfolio in that strategy to achieve the same asset weight as the model portfolio. It is possible to define in the system whether orders should be generated separately by portfolios or whether a collective order should be generated for all portfolios. Subsequently, assets purchased using a bulk order can be transferred to individual portfolios in the strategy.

If a new portfolio is based on which only cash is deposited and this portfolio is included in the strategy, the system allows the system to automatically generate purchase orders so that the allocation of assets corresponds to the assigned model portfolio.

Generated orders can be automatically sent out of the system immediately to the partner brokerage firm or directly to the market, for example using the FIX or SWIFT protocol.