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Risk and Performance Analytics
Transcript of Risk and Performance Analytics
Microsoft Excel (VBA) Upload Generator Generate Excel files for the Fund Portfolios and Benchmarks
Daily upload to build history
Flagging problems that needed to be solved manually Fund Analysis Typical Macquarie fund analysed.
Compared the statistics with the objectives in the Product Disclosure Statement (PDS)
Fund typically high risk
Holdings in 25-35 Australian Equities
Aims to outperform the S&P/ASX200 Accumulation Index over medium to long term (before fees) Skills and Techniques Understanding investment types and their performance
Risk and statistical analytics
IT and computing skills
Self-learning was essential in some of the tasks
Researching Fund Reporting System Generate a report template from the Bloomberg Terminal
Determine important characteristics for analysis
Use VBA to extract necessary data Fund Analysis Demonstrate usefulness
Analyse the influential characteristics of funds
Compare these characteristics with fund objectives Overweights and Underweights Automatic calculations
Composition of the fund
Concentrated on small amount of holdings Results and Outcomes Zan Lee Risk and Performance Analytics Main aims of the project Generate upload files to import onto the Bloomberg Terminal
Create an automated system
Implement a flagging system
Create tailor made reports Overview Introduction Macquarie Funds Group - Investment Risk Team
Increase independence of the investment risk team
Quickly and easily analyse fund data Generating upload files were successful
System was as automated as possible
Flagging system useful in picking up errors
Produced meaningful reports, capabilities
Self-learning and development Thank You HR - Pip Ringland and Helen Giang
MIM Investment Risk Team - Keith, Joel, Dan, Calista and Priyanka
Special thanks to my buddy, Tom Agenda 1. Introduction
3. Main Aims of the Project
5. Fund Analysis
6. Results and Outcomes
7. Skills and Techniques
8. Questions Tracking Error Largest contributor to tracking error Boart Longyear, 28.44%
3 out of the Top 5 Overweights are present in the Top 5 Contribution to Tracking error Scenarios Performance Attribution Risk Adjusted Return