Portfolio Analyzer (FIN-FSCM-TRM-PA) 

Purpose

You use this component to calculate and monitor the rates of return (yields) on your financial assets.

Portfolio Analyzer is designed to be used to measure the profits from investments from different perspectives and using different methods. The calculations are based on the structure of your portfolio in the portfolio hierarchy. You use characteristics to define the hierarchy. For example, you can choose the sector, country, trader, department, or product type to define the hierarchy. This means that you can create your portfolio flexibly, and organize it into different aggregation levels. You can then calculate yield key figures for each of the levels. In the reporting functions, you can display results for each node that you defined in the portfolio hierarchy. You can navigate to the data stored for single transactions.

To analyze data from different perspectives, for example, as the internal controller, dealer, or marketing employee, you can define multiple portfolio hierarchies, and use them in your analyses. Portfolio Analyzer creates versions of the portfolio hierarchy, and of the calculations of rates of return and benchmarks. This enables you to look at the figures on which past calculations were based at any time, and reproduce and historize the results.

Methods for Calculating the Rate of Return

Portfolio Analyzer contains various methods for calculating the time-weighted rate of return (TWRR) and the money-weighted rate of return (MWRR). In addition to the exact methods, Portfolio Analyzer also contains the approximation methods Dietz and modified Dietz. In addition to rate-of-return key figures, you can define benchmark rates of return that you can compare with the returns on your portfolios.

Benchmarking

You can manage benchmarks, and compare them with the rates of return calculated for any part of your portfolio. You can also import risk key figures and book values into Portfolio Analyzer, and use the formula editor to link them to new key figures. This enables you to display the active return and excess fair value in the reporting for Portfolio Analyzer.

You can then use Portfolio Analyzer to steer your investment strategy. In reporting, any deviations in the planned revenue and risk estimates can be detected at an early stage, and forecasts made about how the portfolio will develop. You can use these analyses to work out proposals for optimizing your investment strategy and for concluding new deals.

Integration

Portfolio Analyzer is part of SAP Treasury and Risk Management (TRM). You can use Portfolio Analyzer to analyze loans from SAP Loans Management (FS-CML) and all items from Transaction Manager (TRM-TM) for which the rate of return can be calculated.