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Portfolio Analytics & Reporting

Release 25.04

new module

FX hedging for Performance

Evaluating performance based on synthetically hedged returns is useful for several reasons. 
FX hedging can be used to neutralize or manage the effects of currency fluctuations on an investment portfolio. If an investor holds assets in foreign currencies, exchange rate movements can significantly impact the portfolio’s return. By synthetically hedging currency exposure, you can better isolate the performance of the underlying asset and assess the manager’s performance after adjusting for currency risk. SimCorp’s synthetic FX hedge solution allows you to:

  • Define currency benchmarks by specification of desired target exposures to currencies'
  • Toggle synthetic hedging on/off for analytics in the InvestApp, where virtual FX forwards are made to neutralize currency exposures in both the portfolio and the benchmark
  • Request Performance to be calculated hedged or unhedged for reports

Benefits

  • Evaluate the performance of your investments in foreign markets on fully FX-hedged returns
  • Evaluate the implementation of the actual FX hedge, compare it to the synthetic FX hedge, and analyze the result of potential currency bets.
  • Break down active performance and create a full portfolio attribution report.

 

CcyHedging

Portfolio managers can now choose to see Performance analytics as if their investments were 100% hedged, while currency managers can measure the effect of their currency hedging decisions.

Subscription based licensing

Investment Analytics Platform - Performance

Sales module dependency

Performance Book of Records
FX Hedging for Performance (new)

 

 

 

new module

Stand-alone Risk & Performance offer with Axioma Risk+IAP Performance

With the seamless integration of Axioma to IAP-Performance, Axioma clients now have on-the fly performance and performance attribution available at their fingertips. 
Upload your positions to Axioma Risk, leverage Axioma’s pricing, benchmark, and risk capabilities, and view performance results in the Investments frontend. Alternatively, generate performance insights by requesting performance results via the exposed APIs.

Benefits

  • Get seamless access to performance insights as an Axioma Risk user. 
  • View performance figures in Investments frontend. 
  • Call the Performance APIs and integrate performance analytics into your ecosystem.
PerfStandalone
Subscription based licensing

Axioma Risk
Investment Analytics Platform - Performance

Sales module dependency

N/A

 

 

 

Decomposition of Funds in IAP Performance

Fund look-through makes it possible view the underlying holdings within a fund at a more granular level. This enables you can examine the composition of the fund and for instance get a better understanding of currency or sector exposures. Performance fund look-through will additionally enable you can transparently analyse performance and attribution and understand drivers of performance.

When investments include funds, Fund look-through enables fund instruments to be replaced by the set of constituents and their weights inside the fund. Fund constituents are prepared in SimCorp Dimension’s Generic Fund Decomposition module and synchronized to IAP Performance for on-demand utilization in reports and online analyses

Benefits

  • As performance analyst, you are now able to toggle decomposition of funds in the InvestApp, whereby the market value of funds are replaced by that of the underlying constituents
  • As a report developer, you can request Performance to be calculated and delivered for reports or DWH either with funds decomposed or not

 

FundLookThrough

InvestApp users can now switch on Decomposition of both Funds and Derivatives of the fly and fund constituents grouped in Performance based on the Generic Decomposition module of SimCorp Dimension.

Subscription based licensing

Alternatives Strategy Analysis

Sales module dependency

Alternative Investments Manager
Alternatives Strategy Analysis

Axioma Stress test analytics in Risk Analysis Manager

It is possible to include Stress test analytics calculated by Axioma into your Risk Analysis Manager analytics view. The definition of the stress test scenarios and the calculation of the original and shocked unit prices are performed in the Axioma application, while the scaling to position level and aggregation according to the reporting structure splits are done inside SimCorp Dimension.

The required unitized stress test data from Axioma is stored in the following windows: 

  • Axioma Stress Test Analytics
  • Axioma FX rates
  • Axioma Stress Test FX rates

The shocked scenario market values are calculated according to the following formula inside SimCorpDimension:


It is possible to schedule regular clean-up of the old Axioma data that is no longer required for calculations. This can be done by using a dedicated batch job group called Cleanup Axioma Stress Test– Execute.

Benefits  

  • As a Risk Manager, you can easily access Axioma Stress test scenarios using SimCorp Dimension for analysis, storage,and reporting
  • A wide analytics list, covering Scenario market value and P/L, is calculated for the portfolio, benchmark, and relative holding scope. 
  • Additionally, it is also possible to include Start scenarios, which are also based on Axioma prices and FX rates.
  • Data flow is orchestrated by the communication server logic and batch-driven processes, reducing end-user involvement and operational risk.

New inflation risk factors for Latin American inflation bonds

The theoretical valuation of Latin American inflation index bonds is based on special inflation yield curves, and it can now be included in the risk valuation.  A new risk factor class called “Inflation” has been introduced in the risk module to incorporate the risk associated with Mexican and Brazilian inflation curves into the Risk analytics calculation. 
 

Benefits  

This functionality enables accurate risk pricing and valuation by including inflation exposures into the VaR and Stress test calculations.

Disable currency risk in VaR analytics calculated in Asset Manager

It is possible to exclude the currency when calculating Parametric VaR and Ex-ante volatility analytics in Asset Manager. To disable currency risk calculation, select the Disable currency risk check box on the Parametric VaR/Ex-ante volatility tab of the Risk and Performance Analytics Configuration window.

When activating this functionality, the currency risk-related risk factors are excluded from the risk valuation. This setting is particularly useful when you want to analyze risk analytics, assuming the currency risk exposures are to be managed separately. 

Another scenario where this option is particularly useful is when you want to use imported risk factor sensitivities from external sources. When Disable currency risk check box is activated, you can use imported risk factor sensitivities for the currency risk factors.  

Benefits

  • As a risk or portfolio manager, you can choose whether to include currency risk factors into the VaR/ETE calculations or exclude them to meet your analysis needs.
  • This option enables the import of currency risk factor sensitivities from other sources (e.g. from Axioma) for use in Parametric VaR/Ex-Ante Volatility calculations within SimCorp Dimension.

Delete specific risk data

It is possible to do the database clean-up storing specific risk volatility and specific risk covariance information inside SimCorp Dimension. Since specific risk volatility and covariances are imported and stored at the security level on a daily basis, big data volumes accumulate quickly in the database. Therefore, it is possible and recommended to schedule regular deletion of the old data that is no longer required for calculations. This can be done by using a dedicated batch job called Cleanup Specific Risk Volatility and Covariance– Execute.

Benefits  

  • Ability to plan regular cleanup of redundant data, reducing storage costs. 
  • Reduce operation risk by using dedicated clean up job instead of the manual deletion

 

Subscription based licensing

Risk Analysis Manager

Sales module dependency

Risk Reporting 
Various risk model modules 

 

 

 

Investment Forecasting & Solvency – various enhancements

Period closure in the Position calculation 

It is now possible to use the period closure functionality in the Position Calculation. The past period can be closed for the backdated transactions, similar to how it is handled elsewhere in the system when the Period closure framework is activated. In Position calculation, this is useful when reporting Solvency II and Accounting Balance Sheets.

Futures in What-if analysis

It is now possible to include futures in your holding change simulated scenarios, created in the Strategy Manager solution. You can buy or sell simulations into the futures that are not part of your portfolio by selecting them in the Extended Position Universe.
 

Benefits
As an investment or portfolio manager, you now have wider capabilities for building your investment strategies by simulating future instruments, helping identify potential risks and opportunities.

Subscription based licensing

Strategy Manager & various add-ons

Sales module dependency

Strategy Manager - Calculations
Strategy Manager - Market Data Stress Test
Strategy Manager - What-if and Horizon Analysis
Strategy Manager - Position Calculation API
Strategy Manager - Reinvestment component

 

 

 

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