Front Office
Release 25.01
Using Compliance Rules to define Optimization Constraints
The Axioma Portfolio Optimizer is widely used by SimCorp clients to efficiently create quantitative or systematic investment strategies. The quality of the solution and the resulting trade list can be greatly enhanced by improving the accuracy of the data sets.
To date, integration between these products has ensured consistency and precision in portfolio and benchmark positions, prices, and analytics, supported by a shared set of reference data.
The next step has been to add Compliance rules to that list. This ensures that the resulting optimal trades will pass pre-trade compliance checks.
The first phase has focused on “Do Not Invest” lists. E.g., Global sanctions lists, blacklisted ESG securities, specific sectors, or country lists.
Benefits
This resolves the challenge of creating an optimal trade list, only to find that it subsequently fails pre-trade compliance, requiring the process to be re-run. In effect:
- This improves the quality of the solution and trade list.
- Reduces the number of iteration to get to a solution
- Allows a single system to manage constraints and compliance rule sets with the requisite auding and controls.
The top row of the image represents the compliance rules being managed in SimCorp Dimension, and the bottom row represents the corresponding investment constraints represented in Axioma Portfolio Optimizer. Notice the common ID that provides the link between the 2 systems.
Subscription based licensing
Axioma Portfolio Optimizer Integration
Sales module dependency
Asset Manager
Flexible Aggregations of Portfolios in Compliance Manager
Compliance Manager now offers much greater flexibility and an improved system for applying investment restrictions to sets of portfolios.
With the newly introduced concept of business entities, you can define named sets of portfolios dynamically. These sets can represent investment mandates, clients, strategies, etc., and are independent of the portfolio/portfolio group structure.
The included portfolios can change over time, with the sets able to overlap or intersect each other as needed.
In Compliance Manager, business entities are structured in a new hierarchy parallel to the existing portfolio hierarchy. This follows the well-known principles and workflow of the module, including lifecycle management, assignment of global rules and legal sets, and more.
This is an often requested addition to Compliance Manager, which has sometimes been referred to as a portfolio hierarchy without portfolio groups. We are very excited to release it with version 25.01.
Benefits
- Model portfolio structures freely in a dynamic way, independent of portfolio groups
- Improved system performance for compliance rules across large numbers of portfolio groups
- More transparent configuration of investment guideline monitoring
- Better model your investment process and structures in Compliance Manager
- Shared concept with support being rolled out to other functional areas of SimCorp Dimension in upcoming releases
Subscription based licensing
Mandates and Investment onboarding (Add-on, new)
Sales module dependency
Mandates and Investment onboarding
Strategy Tagging
Strategy tagging provides a flexible a way to group simulations, orders, and transactions, enabling portfolio managers to analyze investment decisions over time.
Traditional grouping methods in portfolio management often rely on accounting-focused split fields, which, while effective, may not fully capture the dynamic nature of opportunistic decisions. This highlights the potential for more innovative approaches that better represent pair trades, long-short strategies, bets on the macroeconomic events, credit spread strategies, etc. With the new module, you can analyze strategy tags in isolation, compare strategy tags to evaluate the different decisions, and learn from the strategy tag results.
Strategy tagging was developed with an API-first approach. A full maintenance workflow can be undertaken by using the Strategy Tagging API. Additionally, you can perform some strategy tagging tasks by using the Strategy Tags window and Strategy Tag Assignments applet in Asset Manager.
You can leverage a set of pre-defined strategy tags or create new ones on-the-fly to group simulations, orders, or transactions effectively. The flexibility of the strategy tagging approach allows you to allocate the full or partial nominal to a strategy tag, facilitating the division of an order across multiple strategies while still releasing it as a single order to the dealing desk. Strategy tagging operates independently of workflow status, allowing for swift execution and retrospective modifications.
For all transactions that are assigned to a specific strategy tag, you can request the calculation of market value, exposure, and other PKR-driven key ratios, balance book value, unrealized P/L, year-to-date P/L, and other standard accounting values, as well as associated cash flows. The cash effects of coupons and dividends are projected by using the assigned nominals of transaction assignments that can differ from the IBOR records.
Benefits
- Enables playground for portfolio managers to track their decisions and learn
- Supports active portfolio management strategies
- Optimizes impact on accounting view
A new Strategy Tag Assignments applet in Asset Manager
Subscription based licensing
Add-On Package (for SBL): Strategy Tagging API
Sales Module (for MBL): Strategy Tagging API
Sales module dependency
Asset Manager module increases the value
CS01 calculation supported natively
In version 25.01, DV01 – the dollar value of a 1 basis point key ratio, measuring the interest rate sensitivity of a bond or portfolio of bonds, or fixed income instruments in general, became natively available in Asset Manager and elsewhere in Simcorp Dimension.
The native support for fixed income analytics has now been expanded to include CS01. CS01 captures the change in dirty price due to a 1 basis point shift in the discounting curve, whereas DV01 measures the 1 basis point shift in both the fixing and discounting curves.
CS01 serves the same purpose as the spread duration key ratio and is, in fact, defined as a simple scaling of Spread Duration – except for callable bonds, where CS01 is based on yield to worst date calculation logic.
Previously, CS01 was modeled using User Defined Key Ratios (UDKRs). Native support for CS01 removes some limitations associated with UDKRs. For example, it is now possible to use CS01 as a target key ratio in the automated position weight adjustment in Asset Manager.
Benefits
- Reduces configuration maintenance by using CS01 as a native key ratio.
- Allows CS01 to be targeted as a key ratio in Asset Manager
- Follows best practices by using SimCorp’s standard CS01 key ratios, which are applicable for bonds, swaps, index bonds, and more.
Subscription based licensing
Asset Manager
Sales module dependency
Asset Manager
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