Show your performance
StatPro Revolution is the culmination of the breadth and depth of StatPro’s incredible expertise in portfolio analytics and reporting. StatPro Revolution provides this powerful analysis in a beautiful and simple way so you get the most value from your portfolio data. Building on over 15 years of experience in portfolio analytics and risk, StatPro delivers powerful analytical tools in an intuitive, visual way and at a fraction of the price. You can show your performance in its best possible light with our visual dashboards. Or you can clearly explain to your clients how you added value to their portfolio, using the contribution or attribution analysis screens. Why not use our risk management tools to visually display your control of portfolio risk by highlighting the portfolio, sector or security level Value at Risk (VaR). You can even highlight areas in the portfolio susceptible to various risk scenarios such as interest rate movements or market shocks. Whatever you do, you can bring your portfolio story to life with StatPro Revolution. While focusing on its ease of use and visual interface, StatPro Revolution offers the same sophisticated portfolio analytics you would expect to find in much bigger, complicated and expensive systems. In addition to its iconic visual dashboards, all analytical pages offer Report View, with detailed information presented in an Excel-exportable, customizable data table
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. The estimated dispersion of ex-ante returns is also shown visually, giving an 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. 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. 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 a segment and individual security level. The Risk Limits Monitoring module also allows you to easily monitor your global exposure following the VaR approach and liquidity risk of your funds. Limits can be set for the monitoring and a traffic light approach is used to identify early warnings and breaches. The module includes the calculation of VaR (both absolute and relative to a reference portfolio), stress testing, back testing and leverage. The liquidity risk according to StatPro’s proprietary methodology is computed as well. A PDF report is also available. (Market) liquidity risk can be defined as loss arising from the difference between the asset’s value in the portfolio (and/or on the balance sheet) and the price for which it can be sold in the markets. The liquidity risk dashboard calculates the predicted ex-ante liquidity haircut of the portfolio, broken down into Bid/Ask, Pricer, Market Cap, Ownership and Nominal.
StatPro Revolution doesn’t just analyze Equity and Fixed Income portfolios, it is also able to show the full merits of a balanced portfolio in a single dashboard. By being able to combine equity, fixed income and other asset classes together in one analysis the user can clearly demonstrate not only the value of each element of the portfolio but how they complement each other to make the whole. 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.
StatPro Revolution provides advanced equity attribution following the standard Brinson methodology. It breaks down a portfolio’s performance into allocation, selection and optionally, interaction. Attribution analysis can be calculated in StatPro Revolution using either the arithmetic (GRAP) or geometric approach.
The attribution models offered in StatPro Revolution
- Top Down Attribution
- Bottom Up Attribution
- Multi-currency attribution
The top-down attribution model is appropriate to analyze a portfolio that follows a top-down investment process where one or more allocation decisions are made prior to security selection. For this type of analysis, the allocation effect is considered primary and the selection effect is secondary. This type of model can be run against a constituent level benchmark or a target allocation benchmark. The lowest level of analysis is segment level.
When using top down model, the approach can be broken down into:
- Top Down Single Level – This refers to a unique allocation decision made along the portfolio hierarchy.
- Top Down Multi Level – This approach refers to a series of allocation decisions taken successively.
- Annualized Return – StatPro Revolution gives you the ability to see annualized attribution effect for top down attribution model. At least one year’s worth of data is required to run this approach.
Bottom-Up Attribution (Stock-Level Attribution)
Bottom-up attribution model is appropriate to analyze a portfolio manager who focuses on security selection. In this model, the selection effect is considered primary and the allocation effect is secondary. It aims to explain the excess return (versus the benchmark) not only in terms of stocks picked but also stocks left out of the portfolio. Bottom-up attribution can only be calculated when a constituent level benchmark has been assigned to the portfolio.
StatPro Revolution decomposes the portfolio return, which is in the base currency of the portfolio, into a local return and a currency return. This allows users to isolate the return coming from movements in exchange rates between the currency the stock trades in and the base currency of the portfolio. In addition the multi-currency attribution model also includes the ability to define an overlay strategy to evaluate the effectiveness of currency hedging decisions.
In addition to visual dashboards and data tables, StatPro Revolution also offers a selection of ready-made Equity Attribution report templates, available as PDF or Excel outputs.
Fixed income contribution
Building upon years of experience in fixed income analytics, StatPro Revolution captures the performance of fixed income portfolios (or fixed income sections of balanced portfolios) and breaks it down into four main segments:
- Yield Curve contribution
- 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 Shift, Non-parallel, and Roll-Down. The currency contribution is the gain/loss made on foreign exchange rates if the portfolio is multicurrency. The Fixed Income Dashboard offers a historical graph of the contribution components. In addition, it also offers a full set of Fixed Income Exposure scenarios, measuring the impact of interest rates, credit spreads, and inflation changes on the portfolio.
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.
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.
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 indispensible to both investors and compensation committees.
StatPro Revolution allows you to segment securities by the strategy to which they belong, so that a security that appears in a separate strategy is not merged into one holding.
StatPro Revolution API and Excel add-in
StatPro Revolution data can now be retrieved in Excel using a free add-in with a data import wizard. Data in Excel is linked to the StatPro Revolution Web API, which means that any changes to your portfolios will be reflected in Excel once the formulae are refreshed (as opposed to a ‘static’ Excel export).
User management and portfolio sharing
Authorized users (administrators) are able to create new users, assign them a role (e.g. Portfolio Manager, Performance Analyst) and link this role to a set of specific access permissions. Portfolio sharing functionality is taking that a step further – you can now invite new users (i.e. people who don’t currently use StatPro Revolution at all) and allow them to see portfolio performance and analytics. The process is controlled, secure and flexible, so that the authorized person (usually an administrator) has a full audit trail of the new user’s key activities within the system.
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 existing ones. Popular applications of custom classifications include stock recommendations broken down by analyst name (very useful for evaluating quality of stock picks), or by investment strategy.
Target allocation benchmarks
The aim of target allocation benchmarks is to allow StatPro Revolution users to select separate benchmark indices for each segment of the portfolio. So, for example, a target allocation benchmark broken down by GICS sectors would allow a benchmark for each applicable sector, while a portfolio broken down by currency would allow a separate benchmark for EUR, GBP, USD etc. The benefit of target allocation benchmarks is that detailed, segment-level analytics can be performed using free, publicly-available total level index data without the need to purchase constituent level index data. This analytical workaround enables analysis previously only available on portfolios with constituent level benchmarks, such as attribution. In addition to this analytical advantage, target allocation benchmarks also allows monitoring of portfolio segments’ performance against the most relevant benchmarks.
Portfolio aggregation allows grouping of individual portfolios into “super-portfolios” 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. Furthermore, portfolio aggregate can remain “linked” to its constituent portfolios, meaning that a change to a constituent portfolio would automatically be reflected in it. Aggregates can serve a number of different purposes, depending on the type of institution and objectives of the analysis. For example, pension funds can upload all portfolios and have an aggregate view in terms of breakdown by mandates or individual managers; asset managers can see aggregate exposure to specific countries, sectors or currencies, and overall risk, while private banks can have an immediate snapshot of all its accounts etc.
Carve-outs and model portfolios
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). Model portfolios have their holdings expressed as a % of the pre-defined market value (e.g. USD 100,000,000). Instrument weights can “drift”, based on their performance, or re-balance at specified intervals. Model portfolios can be used to demonstrate hypothetical segment allocation and instrument selection, or serve as benchmarks for other portfolios.