Performance Analysis and Attribution

Using our performance measurement module, an asset manager can track performance using all pricing and risk factors that drive returns in the portfolio. Using the ARMS performance module, the true sources of performance can be found, whether they come from credit spread widening or volatility bets. If sufficiently detailed transaction data is provided, analysis can be performed including or excluding transaction costs, attributing performance to trading as opposed to passive gains and much more.

Portfolio Risk and Compliance Analysis

Using the ARMS limit module with predefined UCITS regulatory limit controls, a fund manager can easily monitor a range of diverse fund portfolios with regards to internal risk and regulatory compliance limits. Any metric calculated by the ARMS platform can be attached to a fund and limit levels can be configured. It is possible to fully automate the process from position extraction to mailing reports. Some of the largest Scandinavian asset managers have relied on ARMS for risk and limit monitoring for many years.

Financial Data Storage and Creation

Many asset managers have found that using the History Server as a gatekeeper to in-house consumption of financial data is an efficient way to isolate vendor specific identification codes. It also enables re-use of licensed data for many departments and functions. Having a process where a data validation function can be handled in a separate step from the portfolio system will give the possibility to transform vendor data to fit the internal systems formats. It is also common to financially transform data into more easily used financial metrics such as zero coupon yield curves, corporate bond spreads, or creation of internal benchmark indices.

Fair Value Pricing of Illiquid Instruments

Using the Quantlab Batch Server‘s pricing functions, a range of financial holdings that have no IFRS compliant pricing can be priced using valuation curves and surfaces. For example, problems are commonly encountered for corporate bonds and commercial papers as well as for options that have become deep in or out of the money. By using in-house pricing functions or integrating third party dito, an easy-to-maintain solution can be implemented in a short time.