3D Portfolio Heatmaps Use Cases

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Performance Thinking & Technologies We ARE Visual Beings Instinctively, we are able to spot changes in visual data 2013 PTT - All Rights Reserved Tuesday, June 7, 2022 1

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Use cases of 3D Portfolio Heatmaps

Transcript of 3D Portfolio Heatmaps Use Cases

Page 1: 3D Portfolio Heatmaps Use Cases

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Performance Thinking & TechnologiesWe ARE Visual Beings

Instinctively, we are able to spot changes in visual data

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Performance Thinking & TechnologiesWe LEARN visually

Applying visual principles via 3D heatmaps creates an intuitive management tool

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Performance Thinking & TechnologiesShouldn’t our tools BE visual?

• IMMEDIATE• INTUITIVE• ACTIONABLE• AFFORDABLE• SCALABLE• FLEXIBLE

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Performance Thinking & TechnologiesNOW they can be

Flexible 3D Heatmaps– Custom Color Triggers– Grouping & Segmentation– Asset Ordering– Preset Indicators

Drilldown to details

Integration with other systems and 3rd party engines

– Valuation– Risk– Database/Data Warehouse

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Performance Thinking & Technologies

Via interactive 3D Portfolio Heatmaps

Use Cases

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Performance Thinking & Technologies

3D Portfolio Heatmaps – Use Cases

Use Case 1

Scenario:

Issue: How to identify, measure, and present risk optics on a long-only equity portfolio.

Solution:

A visually intuitive 3D risk dashboard based on component Value@Risk.

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Performance Thinking & TechnologiesUse Case1 – RiskColoration is based on % of overall VAR for a component of a portfolio

Height Is Expected Return

Organized BySector

Key Managerial Question: Why would I maintain a position in a portfolio with high risk and low expected return?

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Performance Thinking & Technologies

3D Portfolio Heatmaps – Use Cases

Use Case 2

Scenario:

Issue: How to monitor margin across multiple prime brokers for a hedge fund.

Solution:

A 3D margin dashboard with indicators on high margin instruments

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Performance Thinking & TechnologiesUse Case2 – Margin

Height is daily margin (USD)

Coloration is based on margin rate

Organized byprime

Key Managerial Question: Why would I be charged a higher marginal rate at one prime?

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Performance Thinking & Technologies

3D Portfolio Heatmaps – Use Cases

Use Case 3

Scenario:

Issue: How to monitor weekly liquidity constraints for a SMA

Solution:

A 3D dashboard to indicate when a position nears liquidity threshold

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Performance Thinking & TechnologiesUse Case3 – LiquidityColoration is based on liquidity measure (holdings/average daily volume)

Organized by liquidity bands from lowest to highest liquidityHeight is position

value

Key Managerial Question: How do I avoid breaching liquidity constraints?

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Performance Thinking & Technologies

3D Portfolio Heatmaps – Use Cases

Use Case 4

Scenario:

Issue: How to monitor counterparty exposure to non-USD assets

Solution:

A 3D dashboard organized by counterparty and currency

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Performance Thinking & TechnologiesUse Case4 – CounterpartyColoration is based on counterparty

Organized by local currency

Height is position value (USD)

Key Managerial Question: Am I trading too frequently or infrequently with a counterparty?

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Performance Thinking & Technologies

3D Portfolio Heatmaps – Use Cases

Use Case 5

Scenario:

Issue: How to monitor accounts firm-wide for changes in market value

Solution:

A 3D firm optics dashboard

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Performance Thinking & TechnologiesUse Case5 - ValuationColoration is based on change in account-level market value

Filtered by accounts with a specific investment objective

Height is market value of an account

Key Managerial Question: At a firm-wide level, am I seeing accounts pulling assets from my firm?

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Performance Thinking & Technologies

3D Portfolio Heatmaps – Use Cases

Use Case 6

Scenario:

Issue: Do my simulations of capital market assumptions signal any change in expected returns on a portfolio?

Solution:

A 3D presentation of simulation results

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Performance Thinking & TechnologiesUse Case6 - Simulation

Organized by change in interest rate (rows) and change in allocation to interest sensitive

instruments (columns)

Green = Increased Expected ReturnRed = Decreased Expected Return

Height is change in expected return

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Performance Thinking & Technologies

3D Portfolio Heatmaps – Use Cases

Use Case 7

Scenario:

Issue: How do I review my profitability by credit risk?

Solution:

A 3D dashboard showing profitability

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Performance Thinking & TechnologiesUse Case7 – Gain/LossColoration is based on profitability

Organized by credit rating

Height is relative size of position in a portfolio

Key Managerial Question: Am I being compensated for additional levels of credit risk?

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Performance Thinking & Technologies3D Portfolio Heatmaps

• IMMEDIATE• INTUITIVE• ACTIONABLE• AFFORDABLE• SCALABLE• FLEXIBLE

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Performance Thinking & TechnologiesFor Additional Info

Please Contact:

H. Seth BerlinPrincipalPerformance Thinking & [email protected]