Modern Portfolio Management: Do you have what you need?

This is part of a series of papers to bring transparency in solutions delivered in Capital Market.
This publication details what functions/features to expect in a typical modern Asset Management desk.
It brings clarity to an institution that is selecting or deploying an Asset Management solution in what to have as a minimum. It also acts as a high-level road-map checklist for software companies developing Asset Management solutions.
Any solution providing less for an Asset Manager will not produce the required return over investment.
I will split the document into Products and Functions.
Products:
FX
Spot
Forwards
Swaps
NDF
OTC Vanilla Options
Barrier / Digital Options
Asian Options
FX Futures
Interest Rate
Interest Rate Swaps (OTC and Cleared)
Cross Currency Swaps
Basis Swaps
Constant Maturity Swaps
Inflation Swaps
Cancelable Swaps
Swaption
Cap/ Floor
Money Market
Loans
Deposits
FRA
CD
CP
T-Bills
Call accounts
Repo
Fixed Income
Fixed coupon bonds
Floating rate bonds
Mortgage bonds
Perpetual bonds
Corporate bonds
Amortized bonds
Bond futures
Credit Derivatives
Credit Default Swaps
Asset Swaps
Equities
Stocks
Futures
Forwards
Listed options
CFD
Equity Swaps
Dividend Swaps
Variance Swaps
Funds
Mutual Funds
Money Market Funds
Funds of Funds
Functions:
Order Management
Order blotter
Order management:
Life Cycle
Merge
Split
Assignment
Compliance
Allocation
Allocation optimization
Rules
Execution
Trade Capture
Purpose: Sales, What-if, Internal, ...
KYC
Product Check
Classifications
Rules
Enrichment
Regulatory Compliance
Portfolio Management
Position management
Real-Time P&L (derivatives & cash)
Benchmark management
Sensitivity analysis (absolute)
Sensitivity analysis (relative to benchmark)
“What-if” scenarios (absolute)
“What-if” scenarios (relative to benchmark)
Asset Allocation
Portfolio rebalancing
Performance Measurement
Allocation analysis
Portfolios returns
Portfolios contributions
Benchmark comparison
Performance attributions
Brinson performance attribution
Time-weighted rate of return for GIPS standard compliance
Dietz, Modified Dietz and Modified BAI
Sharp Ratios
Information Ratios
P&L attribution (derivatives)
P&L Explained (derivatives)
Risk Management
VaR Simulation [Historical, Monte-Carlo and Parametric]
VaR attribution
Stress Testing /Back-testing
Liquidity Management
Cash flow analysis
Sensitivity analysis
Classifications of the liquidity of fund portfolio investments
Liquidity ratios under “What-if” scenarios
Liquidity ratios under Behavioral scenarios
Limits on illiquid investments
Hedge Accounting
Fair value, cash flow and translation (net investment) hedging strategies micro and macro/gap based.
Re-hedging and carrying the original ineffectiveness
Multi-currency support in case of cross currency hedges and FX exposure hedges
Collateral Management
CSA Management
Margin Call Management
Optimizations
Interest Management
Dispute Management
Limits & Compliances Management
Limits can be configured in absolute term or in relation to the capital invested
Credit limits
Country Limits
Issuer Limits
Investment mandate Limits
Approved investments Limits
Concentration Limits
Cash Position Limits
Securities Position Limits
VaR Limits
Sensitivities Limits
Alerts
STP breaks
Risk limits
Compliance limits
Collateral Management dispute
Corporate Action
Credit events
IBOR
Real-time, and consolidated view of positions and cash independent of back office systems
Must include all the positions, transactions, reference data, and market data required to support functions such as portfolio analysis and construction, including unconfirmed transactions and projected movements of cash and investments
Trade Life Cycle
Nettings
Expiry
Termination
Extensions
Novation
Exercise
Knock-In/Knock-Out
Resets
Processing
Confirmations
Settlements
Payments
Matching
Disputes
Reconciliations
SWIFT (MT & MX messages)
Corporate Actions
Bond, Warrant Corporate Actions
Equities voluntary and mandatory corporate actions (stock & cash)
Corporate Actions Claim Management
Withholding Tax Processing
Corporate Actions reconciliation
Regulatory
MiFID II/MiFIR
Dodd Frank/EMIR
IOSCO Bilateral Margin
Trade registrations in different jurisdictions
N-PORT, N-CEN
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