data-driven portfolio analysis: key metrics and...
TRANSCRIPT
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Data-Driven Portfolio Analysis:Key Metrics and Considerations
Luther YostProduct Owner - Performance & Pricing
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Objectives
• Assess the relationship between your portfolio returns and benchmark returns
• Understand how individual and group security returns andcontributions relate to the overall return for a portfolio
• Use analytics values to project the future performance of securities
• Understand what value at risk (VaR) represents for possible future variation in the market value of your portfolio
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PerformancePortfolio vs. Benchmark
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Portfolio vs. Benchmark
• Basic comparison of returns and excess returns
• Use of assigned (strategic) index vs. weighted average index
• Questioning how well portfolio and benchmark returns correlate
» Assessing relationship using R-squared and Beta
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Polling Question #1
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PerformanceSecurity Returns vs. Portfolio Return
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Security Returns vs. Portfolio Return
• Returns for securities and groupings of securities
• Non-intuitive values vs. account return value
• Contributions for securities and groupings of securities
• Sum of values vs. account return value
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Polling Question #2
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AnalyticsYield and Duration vs. Option-Adjusted Spread
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Yield and Duration vs. Option-Adjusted Spread
• Yield – what is expected for future performance
• Duration – how interest rate changes could affect yield
• Option-adjusted spread – how the yield stacks up to the risk-free curve
• Compare individual securities, analyze averages, filter for unusual values, and set compliance rules
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Polling Question #3
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VaR (Value at Risk)Price Variability vs. Portfolio Market Value
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Price Variability vs. Portfolio Market Value
• Based on recent price history for every security in portfolio
• VaR for portfolio’s securities combined using correlations
• Estimate for next day, week, month, quarter, or year
• Estimate at 95%, 99%, or 99.5% confidence
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Polling Question #4
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QUESTIONS?
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• Take the post-session survey in the Clearwater Events app
• Take the Clearwater Client Benchmark Survey in room 440 and earn Clearwater swag.
• Don’t miss the Monday networking reception from 4:30 to 6:30 p.m.
• Resources:
» For more about Clearwater’s VaRmodel and capability, go to the Clearwater platform and select Help Portal > User Guides & Videos > Risk > VaR User Guide.
Reminders