2011 – a look back at the revolutionary year

Date: January 24, 2012

2011 was quite a year for StatPro Revolution. The year started out with the product primed for launch and ended with a robust portfolio of loyal fund manager clients ranging from the likes of, Vinculum Fund Management, Amati Global Advisors and PlanStrong Investment Management as well as fund administrators such as WAY Group. We also won our first award.

It will serve many more clients and markets globally in 2012.

As we look forward to fulfilling the changing demands and answering the questions at the forefront of our clients’ minds in 2012, we thought we’d quickly reflect on the client and prospect FAQs from 2011 and offer our perspective.

How do I load my portfolio data into StatPro Revolution?

You can import your portfolio data into StatPro Revolution in three different ways: importing an Excel/CSV file, adding the holdings in the Admin Section of the platform, or setting up an FTP feed that will automatically take your daily holdings directly from your back office. Visit the Forum in StatPro Revolution to view our data import tutorials. There are sample excel file formats and videos on importing data located in the Forums.

What type of coverage is included in StatPro Revolution?

The service currently covers global equities, mutual funds, ETFs, and plain vanilla government and corporate bonds.

What does attribution tell me?

StatPro Revolution offers users the ability to analyze equity and fixed income attribution. Equity attribution tells you how you got to your relative return by analyzing asset allocation and selection decisions. A positive allocation effect means that you received a positive contribution by over or underweighting a particular asset class or sector that over or under performed versus the benchmark as a whole. A positive selection effect is telling you that you have generated a higher asset class/sector return from the benchmark by picking the right securities and appropriately weighing out or underperforming securities. Interaction is a combination of allocation and selection effect as it takes your decision to over or underweight a sector and multiplies that by the difference in portfolio sector return versus the benchmark sector return.
Interaction is often combined with selection effect, which slightly changes the formula to be the portfolio sector weight multiplied by the difference in portfolio sector return and benchmark sector return. Adding allocation effect + selection effect + interaction effect (or allocation effect + selection including interaction effect) will always equal the relative return versus the benchmark.

Fixed income attribution shows your fixed income yield and maturity compared against a yield curve. This page breaks down contribution from the yield curve changing, carry (or time) contributions, as well as spread contributions.

How does StatPro Revolution handle dividends/coupon payments?

For holding based portfolios, when the payment occurs, that day’s return is adjusted by a corporate action factor, which takes into account the payment on that day. The return displayed is the total return and it includes all dividends and payments during the course of the time period. The cash or reinvestment of that dividend must be adjusted by the user.

What is Value at Risk?

Value at Risk (VaR) is a risk calculation that states how much your portfolio is expected to lose over a set confidence interval and holding period. For example, if you set your settings to 95% confidence with a one day holding period and your VaR reads 3%, this means that you can state with a 95% confidence level that you will lose no more than 3% of your portfolio in one day. StatPro VaR is calculated using a two year historical simulation model with the holdings and weights of your portfolio on the last day of the time period selected.

What is the difference between a total level versus constituent level benchmark?

A total level benchmark is simply the total return of the benchmark and does not have any of the underlying security or sector level detail. In StatPro Revolution total level benchmarks are free to use, however attribution analysis cannot be run using a total level benchmark. A constituent level on the other hand does have all the security and sector level detail available so a proper attribution analysis can be run. A constituent level license from the benchmark providers is required to view these benchmarks. StatPro offer our own complementary benchmarks, modeled after major market indexes around the world, to use instead.

What are the classification options?

There are 16 standard security classifications preloaded into StatPro Revolution. Security Type, Asset Class, Asset Sub-Class, Country, Region, S&P Rating, GICS Sector, GICS Group, Currency, Maturity, Modified Duration, Market Capitalization, Fund Type, Fund Category, Long/Short, and IMA Sector. You can also create your own custom classifications either by importing a file or manually creating them in the Admin section. You can select up to three classifications to slice and dice your portfolio.

How do I create reports?

Reports can be quickly produced in the Reports section. StatPro Revolution has 18 detailed reports to choose from ranging from asset allocation, performance, risk analysis, regression analysis and more…Simply select a report, select a portfolio and the preferences, and create. Your reports can be created in a pdf or excel and have the option to add in your company logo and disclaimers.

Are there different portfolio types?

There are three different types of portfolios, Institutional portfolios, Private Wealth portfolios, and NAV-only portfolios.

An Institutional portfolio consists of up to 200 assets and can be viewed against a constituent (security) level benchmark enabling an attribution analysis to be done. In Portfolio settings, an Institutional portfolio is considered Equity, Fixed Income, or Balanced portfolio type. These portfolios perform all the analysis in StatPro Revolution: performance and contribution broken down to a sector and security level, asset allocation, attribution against a benchmark, and risk. These portfolios cost $100 per portfolio per month.

A Private Wealth portfolio consists of up to 25 assets and can only be compared to a total level benchmark. This portfolio performs all the analysis mentioned above with the exception of attribution. These portfolios cost $15 per portfolio per month.

A NAV only portfolio is solely the net asset value of your portfolio. NAVs can be provided daily, weekly, monthly, quarterly (or any time other time period). These portfolios focus on the total return of the portfolio and can be compared to a total level benchmark. Since no security or sector level information is provided, no security or sector level performance/contribution/allocation/attribution or risk analysis can be conducted. These portfolios cost $8 per portfolio per month.

And what does the future hold for StatPro Revolution in 2012?

It’s pretty exciting. Cloud computing and software as a service (SaaS) allows us to be very flexible and adaptable. There are updates to the service every four to six weeks. We do not have to wait for a big annual release like traditional software. It means we’re able to adapt and really listen to our clients and prospects enabling us to add functional and platform features to the product. It means we’re getting great feedback from our customers which we’re really happy about.

To learn more about 13f-2 watch our webinar replay Part 1: Unpacking the SEC's New Disclosure Rules for Shareholders
Join us for Part 2: Operationalizing the SEC's New Disclosure Rules, for Shareholders on December 12.