The
Basics
Portfolio
Analytics

Bloomberg’s Portfolio & Risk Analytics solution for investment professionals empowers you with the tools required to successfully implement optimal investment portfolio strategies. Our platform will help you make quicker, more informed decisions by enabling you to easily and accurately measure portfolio risk and return.

The Portfolio & Risk Analytics platform is fully integrated with the Bloomberg Professional service at no additional cost, offering you a comprehensive perspective for your portfolio—past, present, future—thus streamlining your overall investment management workflow.

Features
Portfolio
Analytics

Performance

With the Bloomberg Portfolio & Risk Analytics solution, PORT, you will be able to examine the historical performance of your portfolio, either on an absolute basis or relative to a benchmark. Identify the sectors or holdings that have exhibited the best risk/return trade-off and contributed the most to your portfolio’s return.

Historical Performance
PORT enables you to:

  • Examine the historical cumulative performance of your portfolio relative to its benchmark.
  • Easily change the analysis time frame to identify specific sub-periods or long-term performance patterns.
  • Gain insight into your portfolio’s historical risk/return profile by examining ex-post standard deviation, Sharpe ratio and other statistical measures.
  • Identify the sectors or holdings that have contributed to your portfolio’s performance and compare it relative to your benchmark.

Performance Attribution
Understand why your portfolio outperformed or underperformed a benchmark over a historical time period. The Bloomberg Portfolio & Risk Analytics platform, PORT, gives you the ability to:

  • Analyze how the structure of your portfolio relative to its benchmark contributed to your active performance.
  • Break down your active return in terms of sector allocation, security selection, and currency movements.
  • For fixed income portfolios, further attribute your active performance to changes in interest rates and spread effect.
  • Leverage our proprietary risk models to understand how various risk factors contributed to your portfolio’s performance.

Bloomberg Barclays Indices

Combining world-class fixed income benchmarks with advanced performance analysis, risk forecasting and portfolio construction tools. Now available in PORT.

Characteristics

As you manage your investment portfolios, PORT will help you leverage Bloomberg’s vast securities database to analyze your portfolio’s current and historical characteristics. PORT displays standard Equity or Fixed Income fundamental metrics, such as P/E, yield, duration, and credit quality—and allows you to integrate your own custom data. You will be able to monitor your intraday performance in real-time and quickly link to the News currently trending on your portfolio holdings.

Aggregate Characteristics
The Bloomberg Portfolio & Risk Analytics solution, PORT, provides you with the ability to:

  • Analyze the fundamental characteristics of your portfolio and how it compares with a benchmark as of a specific date or as a time series trend.
  • View metrics such as valuation ratios, earnings growth, duration, credit quality, yield, and spread to evaluate the core investment structure of your portfolio.
  • Understand your current interest rate exposures, credit risk exposures, and projected cash flow payments to help you make informed investment decisions.
  • Aggregate by any classification, such as sector, country or any custom classification that you define.

News that Affects your Portfolio
In a globalized world, staying informed of breaking news is critical to success. Use PORT to:

  • Access Bloomberg’s ever-expanding News content—fed by more than 60,000 sources, including global press releases, broker research and blogs.
  • Use news heat indicators to identify at a glance the stories that are most impacting your portfolio today.
  • Create alerts for your portfolios based on unlimited keyword criteria, thus ensuring that every piece of news and research critical to you is captured in real-time.
  • Stay on top of how the markets are impacting your portfolio’s return throughout the day, allowing you to react quickly to events as they occur.

Intraday Performance Monitoring
Evaluate the impact of your portfolio’s performance real-time as the market moves throughout the day. The Bloomberg Portfolio & Risk Analytics solution lets you:

  • Track the intraday performance of your Equity portfolio on an absolute basis or against a benchmark using real-time exchange prices.
  • Monitor the intraday return of your Fixed Income portfolio by leveraging Bloomberg’s intraday fixed income pricing sources, including MSG1 pricing.
  • Decompose your portfolio by sector, geography or your own custom classification to isolate the drivers of performance today.

Risk

Bloomberg’s proprietary fundamental risk factor models will help you measure, analyze and anticipate portfolio risk. You can analyze your risk with a myriad of tools, including Tracking Error analysis and Value-At-Risk. You can also perform custom stress tests to gauge how your portfolio will respond to the next major market event.

Tracking Error
Enrich your investment strategy by understanding the risk factors that affect your portfolio versus a benchmark. The Bloomberg Portfolio & Risk Analytics platform, PORT, enables you to:

  • Analyze your portfolio’s ex-ante (predicted) risk by using one of Bloomberg’s multi-factor risk models, which provide global and multi-asset class coverage across all of your positions.
  • Understand your portfolio’s exposure to fundamental risk factors, such as growth, value, momentum, currency, yield and spread.
  • Quickly identify the top individual securities which are contributing the most to your total active risk, and uncover the potential hidden risks that may be impacting your returns.
  • Drill down to the underlying fundamental data for full risk data transparency.

Value-At-Risk
PORT offers multiple approaches to measuring Value-at-Risk. Included are:

  • The Value-at-Risk (VaR) calculation estimates your portfolio’s maximum loss at a given confidence interval.
  • Analyze the expected tail risk (conditional VaR) of your portfolio using the latest risk modeling techniques.
  • Bloomberg offers three primary permutations for Value-at-Risk calculations, including historical simulation, Monte Carlo and the parametric methodologies

Scenario Analysis
Be prepared for the next big market event by estimating the impact on your portfolio using Bloomberg’s scenario tools. The Bloomberg Portfolio & Risk Analytics solution, PORT, helps you to:

  • Understand portfolio risk by utilizing scenario analysis, in which you can stress market variables to gauge the potential impact on your portfolio’s future performance.
  • Perform stress tests on your portfolio based on various historical events, such as the debt ceiling crisis of 2011, as well as hypothetical market scenarios, such as a change in interest rates.
  • Evaluate which scenarios would be best or worst for your portfolio and drill down into your portfolio holdings to identify which sectors and securities are most impacted.

Portfolio Construction

PORT includes fully integrated portfolio construction tools that will help you to perform real-time analysis of the impact of hypothetical trades on your portfolio’s fundamental and risk characteristics. You will also be able to run multiple versions of hypothetical trades or backtest your investment strategies as you work to construct your optimal portfolio.

Trade Simulation
Analyze how your portfolio’s characteristics and risk structure would change based on your potential trades. Bloomberg’s Portfolio & Risk Analytics platform, PORT, offers you the ability to:

  • Quickly evaluate potential trades or edit existing positions by using the Trade Simulation functionality, which is fully integrated in PORT.
  • Leverage Bloomberg’s comprehensive terms and conditions database to incorporate new instruments into the portfolio, and assess their impact in Trade Simulation mode.

Portfolio Optimizer
Solve for complex, multi-faceted investment management strategies using Bloomberg’s Portfolio Optimizer. The Portfolio & Risk Analytics solution enables you to:

  • Use the Portfolio Optimizer to identify the best set of trades from your investable universe that will give your portfolio the characteristics and risk exposures desired.
  • Apply real-world constraints such as portfolio turnover and transaction costs when generating trade ideas.
  • Generate an efficient frontier of optimal portfolios based on a range of trade-offs between your optimization goals and constraints.
  • Backtest your trade ideas to see how your investment strategy would have performed historically.

The Bloomberg Barclays Indices

The Bloomberg Barclays Indices are available in the Portfolio & Risk Analytics Platform, which combines world-class fixed income benchmarks with advanced performance analysis, risk forecasting and portfolio construction tools.

For more information, visit the Bloomberg Barclays Indices product page.

Portfolio Integration

Bloomberg’s portfolio performance, characteristics, risk and trade simulation capabilities can be driven by turn-key integration with custodians, fund administrators, and other portfolio data sources. This seamless combination offers clients of third parties sophisticated portfolio management and analysis tools along with the power and flexibility of the Bloomberg Professional service for news, analytics, charts and execution platforms. Access a partial list of third parties currently sending portfolio data to Bloomberg.

Additionally, Bloomberg’s Global Portfolio Integration team receives data from over 100 different third-party data providers within the industry for the Portfolio & Risk Analytics solution.

To submit a portfolio data integration request, email us and indicate your interest along with a contact name, phone number and email address. Your request will be directed to a Global Portfolio Integration team member who will contact you to begin the process.

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The Team
Portfolio
Analytics

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