BBU/Ho/CH
What are the required fields for a basic BBU Upload?
Security ID
Position/Weight
Date
What are the three position types?
Shares/Par Amount
Fixed Weight
Drifting Weight
If I load a fund in PORT, why does its return not match the return I see in TRA/COMP?
PORT = Bottom Up
TRA/COMP = Top Down
What is Duration?
Sensitivity to changes in interest rates
To be long duration, means you have outlook that rates are going to go down so the value of your portfolio or investment will go up.
Current PORT + Modules?
Extended Uploads (50+)
Custom Pricing - can override BVAL
Scheduled Reporting
I receive an error: "position type cannot be changed between shares/par amount, fixed & drifting weight". Why and how do I fix it?
Cannot change position type after the portfolio is created. Can adjust by creating a new portfolio or changing the position type in the file.
How do I share a portfolio? What is the difference between View Only and Update?
PRTU >> select check box to left of portfolio name >> Share from the red tool bar
View: Can only view portfolio
Update: Can update portfolio through PRTU, cannot make changes through BBU
Short position.
CTR = Security Wgt * Security Total Return
Negative Weight * Negative Return
Factor Models: What is the Regional Model vs. the Global Model?
Regional - uses factors specific to individual countries within your portfolio
Global - uses global factors, based on a global universe
Forward vs. Future?
Forward - OTC and is customizable (OVML)
Future - Traded on an exchange
Both can be used in PORT, generic tickers are not supported
Where does the Cash Flows Tab source from?
BDVD, DVD, CSHF, CFT,
How does PORT Calculate Weight?
Security Market Value/Portfolio Market Value
What is the difference between Performance and Attribtuion Tabs?
Performance tells us how we did against the benchmark. Attribution tells us why we outperformed or underperformed the benchmark.
What is Unsystematic Risk?
What are the two index universes, what are the differences in syntax and format?
Projected
Returns
How can I price private securities (EQPL, PPCR)
Upload through Custom Data Upload, and then add the custom price to custom pricing waterfall
Yes - PRTU
* Net
* Gross (Daily Recalc)
* Gross (Since Inception)
Setting flipped often with long/short managers who want to see absolute portfolio value.
Allocation is the active return due to allocation decisions (weighting in different sectors)
Positive Allocation: Overweight a sector which outperformed the overall benchmark.
Negative Allocation: Overweight a sector which underperformed the overall benchmark.
What is a Decay Factor?
Used in VaR & TE - weighing more recent data more heavily, when modeling ex-ante risk
What are the two types of scenarios we can run?
Factor Model
Full Valuation
What Price does PORT assume you buy/sell securities add? Is there any way to change this?
End of Day, can use TBA upload to infuse transaction prices into your portfolio to be taken into account in portfolio return
Short Margin - Cover your short position, account for the gross value of your shorts in your portfolio market value.
Futures Margin - Futures are Marked to Market, we want to account for our futures value by applying a futures margin to the portfolio.
We can add short/futures margin through PRTU.
What are the three FI Attribution Models? What is the difference between each?
Excess Return (Mkt Value)
Excess Return (Spread)
Spread Return
Where can we view factor transparency?
What time does the intraday tab end? Why does it run after market close?
6PM
After market close because of FX rates which continue to tick 24h