Institutional investors and asset managers need constant access to performance and risk data on their financial portfolios in order to meet regulatory obligations and the requirements of end clients.
OLIS Performance, CACEIS's innovative online reporting tool, provides investors with an easy way to view dynamic performance and risk analysis data on their portfolios. CACEIS's specialised teams apply their expertise to the implementation, analysis, and verification of data, to ensure accurate and reliable reports.
A fully integrated and automated process, from data collection through to final reporting, ensures security and reliability. CACEIS's tool caters for both fund managers and institutional investors, with a variety of functionalities.
“Clients can select the information and reports they need. All dashboards can be customised and can be exported to Excel. A multi-lingual reporting generator allows them to design their own PDFs at the frequency of their choice. This turnkey solution helps them manage their investment process and their risk exposure,” says Florent Georget, Head of Reporting Investment Management Services at CACEIS.
Several indicators can be used to analyse the management of funds and portfolios and better understand their behaviour in light of market trends. OLIS Performance generates comprehensive management reports based on these indicators, which can be used for business presentations.
Clients benefit from an overview of the asset allocation within the portfolio according to several tailored classification criteria (nature, country, sector, currency, rating, sensitivity, duration, etc.). Composition analysis can be performed in relative (against the benchmark) or absolute terms. Managers view the weight of each asset on a given date and monitor its change in value and percentage.
OLIS calculates time weighted performance, which reflects the return on the whole portfolio compared to the return on the underlying assets. CACEIS's clients can measure internal and external performance for all portfolios. A wide choice of ratios is proposed: Volatility, Sharpe ratio, tracking error, Information ratio, Alpha, Beta, R2. Reports are available in the form of graphs or statistics and are based on all types of classification (by sector, currency, etc.).
Two indicators are particularly relevant to understand and explain performance:
- Performance Contribution measures the contribution of each security and/ or component to the portfolio's overall performance over time. This visual display of the size of positions and their respective contribution provides transparency and information on the most profitable investments over the long term.
- Performance Attribution seeks to identify and explain the origin of a portfolio's outperformance relative to its benchmark to highlight the gain over a given period of time. The effects calculated depend on the asset type: allocation, selection and interaction for the equity model, and carry, spread, yield curve movements and currency contribution for the fixed income model.
OLIS Performance also enables investors to optimise the risk management of their portfolios and funds and thus refine their investment strategies.
The tool provides the historical Value at Risk (VaR) calculation based on the prices of the listed securities in the portfolio. The confidence interval, time horizon as well as historical depth are customisable.
The risk dashboard presents the main contributors to Value at Risk, a graphical risk/return comparison, the distribution of expected revenues, and some ten historical stress tests.
“The strength of OLIS Performance is to bring together ex-post (performance measurement and attribution) and ex-ante (VaR and stress tests) approach for investors' assets under one dynamic tool”, adds Florent Georget.
OLIS Performance is available to clients for which CACEIS performs fund valuations. With its range of dynamic, modular and customisable reports, CACEIS's solution is an essential tool in today's low return market where managers are regularly called upon to review their allocation strategies.
Eric DUBOS, Group Finance Director
Can you give an overview of MACSF?
The MACSF group (Mutuelle d'assurances du Corps de Santé Français) was set up in 1935 and is now the leading insurer for health professionals with almost a million members. We provide two out of three doctors with professional medical liability. We also cover both life and non-life insurance. Our revenues amount to €2 billion and we have 2 million contracts.
The Group had €2.8 billion in equity and reported consolidated net income of €162 million in 2017.
These figures confirm the effectiveness of our strategy and our financial strength. Indeed, the Group's ambition is to strengthen our position as a leader and to respond to the new needs of our members, whose professions are changing enormously. That is why, for some years now, we have been committed to simplifying and digitising our processes.
What services have you entrusted to CACEIS?
We entered into a relationship with CACEIS in 2013 when we decided to entrust it with the custody of our portfolio assets, i.e. nearly €30 billion. With the implementation of Solvency II, we chose to use performance reporting, risk analysis and calculation of gross market SCR.
To address regulatory issues we have more recently joined the TEEPI collaborative platform. With this user friendly and unique interface, we simplify relations with our asset management partners by exchanging regulatory data necessary to edit our reports. Currently, our respective teams are discussing the order transmission flows for our UC (unit linked). Indeed, our life insurance business is developing strongly, particularly the management of UC with more and more arbitrage within our range. To do so, we need to streamline and simplify our unit subscription/redemption and management processes.
For more than 5 years now, we have built a relationship of trust with CACEIS and we are very satisfied with the monitoring of the relationship with dedicated staff, our Business Development Manager and our Client Relationship Manager, who are knowledgeable about our group and are very responsive.
You use our OLIS performance solution. What are the benefits for you?
We were looking for a solution enabling specific and consolidated reports to be made available to the various entities of our Group. With the help of CACEIS’s team dedicated to risk analysis and performance measurement, we have set up specific monitoring based on our investment strategies.
Thanks to OLIS Performance, we now have a range of performance analysis tools for many equity and bond portfolios: performance measurement, asset breakdown analysis and contribution analysis.
The same applies to risk analysis through the calculation of VARs and the implementation of stress tests. We receive reports with a frequency defined according to our needs. Finally, reporting on our raw SCR markets allows us to monitor their evolution on a monthly basis and share them with our various committees or boards of directors, our general management and our directors. CACEIS is our service provider for the custody of our assets; the entire process is integrated and automated, from data collection to final reporting, which guarantees security, reliability and cost reduction for the MACSF.