Style Research Portfolio Analyzer

Click here for Brochure

Holdings-based Style-and-Risk analysis software. Covers 53 equity markets and over 40,000 companies. Comprehensive and easy-to-communicate graphic Style reports and risk analysis. Includes The Front Page, Style Skylines and Style Cookie-Cutter reports used by many of the world's leading investment managers and consultants. 

 

An Intuitive, Multi-Functional and Easy to Use Analysis Package

Accurate

Comprehensive review of global equity portfolios according to the Style criteria that matter most.

Accessible

Familiar investment criteria used daily by senior investment professionals, strategists, equity managers, analysts, and client support.

Intelligible

Transparent information. The analysis supports detailed internal review as well as client communications and reporting.

Interpretable

Interpreted alongside the conclusions and recommendations of our Global Style Perspectives Service.
  • Portfolio Style Analysis
    (Holdings-based Front Page, Style Skylines and Style Cookie-Cutter reports)
  • Portfolio Risk Analysis and Returns Attribution
  • Portfolio and Benchmark Construction Facility
  • User Defined Regional Analyses
  • Fund of Funds Analysis
    (Holdings-based Style analysis, fund by fund risk analysis and fund of funds optimization)
  • Hedge Fund Analysis Capability
  • Returns-Based Funds Analysis and Construction Optimization
  • Batch Processing
  • League Table Analysis

    •  
 

The Front Page

 
The Front Page provides a succinct yet comprehensive portrayal of a fund’s key high level Style and Risk characteristics including:
  • Basic Style Skyline, showing the basic benchmark relative Style tilts.
  • Style Distributions, showing the proportions of the portfolio and benchmark invested in the basic Styles.
  • Sector Decomposition Analysis, including Coverage analysis.
  • Country Decomposition Analysis, including Coverage analysis.
  • Risk Attribution, showing the Tracking Error estimate together with a high level decomposition of the Tracking Variance and the Persistence Ratio.
  • Stock Selection Risk, showing the stock specific risks, or bets, taken within Large Value, Large Growth, Small Value and Small Growth stocks.
  • Major Risk Contributors, identifying those securities contributing the most risk.
  • Liquidity Analysis, indicating the time required to liquidate the portfolio or trade back to the benchmark.

 

Portfolio Style Skyline

Style and Risk Profiling

  • Summary Style Skyline
  • Sector by Sector Analysis
  • Risk Analysis and Attribution
  • Portfolio Style and Risk Detail
A summary Style Skyline highlights key Style exposures from both Standard and Sector Adjusted perspectives.

Portfolios are reviewed in aggregate and according to Sector Adjusted factor measures; multi-market portfolios are also reviewed in Country Adjusted and Country and Sector Adjusted detail.

Sector specific analysis is also provided to detect industry by industry differences in Style emphasis.

Risk analysis assesses portfolio Tracking Error and calculates its constituent risk components.

Tracking Error or, more properly, Tracking Variance can thus be characterized in terms of currency, market, industry, Style and stock specific risk.

Portfolio listings, sorted by industry sector, detail Style exposures, contributions to Tracking Error, and market coverage.
 

Sector Skyline and Sector Style Tilts

Style Distributions
 

Risk Analysis and Risk Attribution
 

Portfolio Listing with Style and Risk Detail
 

Value at Risk Analysis

Value at Risk calculations are based on both Constant Shares and Constant Weights assumptions, for historic 5 year simulations, as well as on ex ante analysis based on the current portfolio structure and the estimated variance-covariance matrix.

The Value at Risk report also includes "Best Rolling" period analysis and an interactive portfolio size specification option.
 

Performance Attribution
Performance Attribution analysis incorporating both the industry standard "Brinson" methodology as well as a fully flexible, user defined, hierarchical decomposition - with full supporting data detail provided.

The performance analysis works from monthly or quarterly portfolio listings and provides decision analysis of Market, Sector and Style allocations and the Stock Selection choices within each decision category. Sector Selection can be defined according to the popular MSCI (GICS) or FTSE (ICB) classification models; and Style categories can be user defined according to any of the Style Criteria available within the software.

Using the Style Research hierarchical methodology, even the order of decision assessment can be altered. While it is always possible to attribute performance in the traditional order (Currency – Market – Sector – Style – Stock) this does not provide a faithful representation of manager skill where the manager implements a different decision order. In particular, many Eurozone managers currently allocate Styles ahead of Sectors and don’t even consider Market selection. To analyze such managers the Style Research attribution hierarchy can be set to Style – Sector – Stock to identify skill in a manner consistent with these managers’ investment processes.

The Performance Attribution analysis incorporates both aggregated attribution analysis and detailed stock by stock performance and contribution data. In this way the output can be used both to present summary level performance attribution as well as to delve into the individual stock details of performance analysis calculations.

 
 

Portfolio/Manager Comparisons and "League Tables"

  • Construct, and batch run, League Tables of manager portfolios.
  • Compare overall risk profiles, composite Styles and individual Style factor exposures.
  • Aggregated and sector by sector detail.
  • Highlight the nature and detail of Style and risk differences among managers.
  • Distinguish top-down, bottom-up, and Style-based managers according to differences in the sources of risk.
  • Identify the distinguishing Style characteristics of individual managers.

League Risk Attribution & Benchmark Coverage

League Style Skyline

 
 

Returns-Based Style Analysis

  • Based on actual portfolio performance history and/or on the aggregate performance of the stocks currently held.
  • Based on 3 Models of Returns-Based Style Analysis: Unconstrained; Constrained; and, Constrained and Positive.
  • Exposes Style Tilt changes through time.
  • Includes Standard and Sector/Country Adjusted Style Paradigm Portfolio returns data, linked to the Style Research Markets Analyzer facility (to define and construct specialized Style returns data), and accepts all third party indices.

Returns-Based Style Mapping
 

 

 

Breadth & Depth of Market Coverage

5 Basic Styles; 31 Detailed Style Criteria; more than 40,000 securities in 53 equity markets.
 
© Style Research 2008