Quantal Portfolio Analysis and Reporting (PAR)
Quantal PAR combines the power of Quantal's proprietary Risk Engine with the flexibility of GIPS compliant point-to-point Performance Attribution to show the driving factors in performance as well as the overall risk and correlation to market movements. Factors can be analyzed at the portfolio level and at the individual security level leading to greater understanding of performance and increased investor confidence.
Quantal PAR is delivered on a Software as a Service platform which can be accessed via any web browser. The PAR system automatically retrieves portfolio holdings and transaction data from custodians and/or accounting systems.
The Quantal Advantage
- From any day to any day GIPS compliant Performance Attribution by Sector or Style.
- Risk model adapts quickly to structural shifts in market risk, creating the most up-to-date and accurate risk analysis available.
- Combining backward looking performance attribution with forward looking risk analytics yields enriched insights that can increase alpha.
Click Here to download a product brochure or Click the reports below to download full size samples.
- Choose from a variety of attribution and risk reporting options.
- "Set it and forget it" report scheduling.
- Generate branded reports in PDF, Word, Excel, or HTML formats.
This Summary Attribution report shows over the selected time period the portion of the portfolio's return that is due to the manager's individual stock selection and the portion that is due to differences in overall sector weightings. This is also broken down within each sector, pinpointing which bets delivered the highest returns, and why.
The Detailed Attribution report details those securities that contributed and detracted the most from the portfolio's returns during the period, as well as those with the highest and lowest performance. The chart shows the stock picking and sector weight contributions of each sector.
Summary Risk Reports
Portfolio Risk and Value at Risk Summary is designed to answer these questions:
- How risky is my portfolio?
- How much of that risk is systematic market risk versus idiosyncratic security risk?
- How do the risk characteristics of my portfolio compare to a benchmark?
- What is the (Basel II) Value at Risk of my portfolio over the next 3 months?
- What is my portfolio's total risk exposure by Sector?
Risk Factor Exposure Summary is designed to answer these questions:
- What is the exposure of my portfolio to changes in International Markets, Long Term Treasury Rates, Dollar Strength, Commodity Prices, US Real Estate Values, Gold and Inflation Expectations?
- How would my benchmark be affected by changes to each of these factors?
Security Detail Risk Reports
Portfolio Risk Security Detail report is designed to answer these questions:
- What securities in my portfolio contribute most to the portfolio risk, and what are their risk characteristics?
- What would be the affect of liquidating these securities?
- What are the risk characteristics of the portfolio's highest weighted securities?
Risk Factor Exposure Detail report is designed to answer these questions:
- Which specific securities are most affected, and least affected, by each of the seven factors?
- How would the portfolio's highest weighted securities be affected by each factor?
Fama/French/Carhart Modelreport compares the portfolio's exposure to this highly regarded 4 factor model versus a benchmark.
Style Factor report compares the portfolio's exposure to ten "Style" factors including Market Capitalization, Dividend Yield, Earnings Expectations