Data-Driven Portfolio Analysis:Key Metrics and Considerations

Luther YostProduct Owner - Performance & Pricing

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

PerformancePortfolio vs. Benchmark

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

Polling Question #1

PerformanceSecurity Returns vs. Portfolio Return

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

Polling Question #2

AnalyticsYield and Duration vs. Option-Adjusted Spread

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

Polling Question #3

VaR (Value at Risk)Price Variability vs. Portfolio Market Value

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

Polling Question #4

QUESTIONS?

• 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