Portfolio Rebalancing
GranaVest provides TargetFinder, a web-based portfolio optimization/rebalancing tool, that can be used alongside a web-based (or non web-based) portfolio management/trading system to provide portfolio modeling/construction capabilities.

TargetFinder helps investment advisors do the following:
  • Rebalance portfolios or funds for clients based on model portfolios.
  • Rebalance portfolios or funds by asset allocation.
  • Generate portfolios or funds based on user-defined requirements, including risk, and security recommendations.
  • Allocate securities across portfolio groups.

TargetFinder provides more flexibility than other rebalancing products, allowing for configuration for individual client's needs.

GranaVest can easily add custom features to TargetFinder based on client requests, including integrating with custom trading systems.


TargetFinder features include:
  • Generation of trade orders in FIX format, Schwab trade format, trade formats for other custodians, or other custom trade formats.
  • Support for various classes of security, including equities, options, ETF securities, mutual funds, fixed income securities.
  • Support for any arbitrary class of security, as long as the securities can be priced.
  • Integration with Advent Axys, Schwab PortfolioCenter, Orion Api, or other portfolio management/trading systems.
  • Rebalancing of households, take into account various tax considerations, restrict selling of securities not held for a certain time horizon or that have redemption costs, allow locking of holdings.
  • Rebalancing of holdings based on minimum trading amounts or percentages.
  • Allows interactive changes to interim rebalanced positions before saving results.
  • Substitution of one security for another, such as a similar mutual fund security in place of a closed fund security.




 
Portfolio Performance Statistics
GranaVest provides industry standard portfolio performance measures, including different measures of return, Sharpe ratios, Sortino ratios, correlation, and other risk measures. These measures can be used to show a portfolio manager's skill.

Uses for the library include creating statistics for performance reports For clients, as well as internal performance review.

Clients can generate reports containing these statistics. Clients can also get these statistics by using the calculation engine PerformanceStatisticsLib, which is a .NET library.

PerformanceStatisticsLib is also available for embedding within Microsoft Excel spreadsheets.


PortfolioStatisticsLib computes the following statistics:

Compounded Return Outperform Index
Continuous Compounded Return Outperform Negative Index
Arithmetic Average Return Outperform Positive Index
Standard Deviation Information Ratio
Gain Deviation Sharpe Ratio
Loss Deviation Sortino Ratio
Downside Deviation Beta
Maximum Draw Down Correlation Coefficient
Best Period Correlation of Determination
Worst Period Alpha
Gain Periods Jensen Alpha
Loss Periods Treynor Ratio
Percent Positive Periods Upside Capture
Percent Negative Periods Downside Capture


 
Bond Calculator

GranaVest provides a bond calculation library for computing accrued interest, yield to maturity, duration, and convexity for a fixed income security. The library is available as a .NET library.



 
Data File Transformer

GranaVest provides TransformDataFiles, software for transforming of xml or text files. The transformation can be specificied to change file formats as well as provide aggregation of data, reorder rows, or do other modifications.

The transformation specification used by TransformDataFiles is very flexible, and easy to create.

TransformDataFiles is available as an application and also as a .NET library.



Uses of TransformDataFiles include the following:
  • Transforming .csv files generated from Axys reports to files in Schwab Trading format.
  • Reorganization of data in .csv files generated from Axys reports.
  • Reformatting files from data provider to desired format.


 
Analytics Web Services
GranaVest provides web services for performance attribution, portfolio risk profiling, as well as performance statistics. These web services can be used within desktop applications or web applications.

The performance attribution web service provides users with basic attribution, having breakdown by a systematic component and by a residual component which includes breakdown by both sector and industry level.

The risk profile web service provides the VAR risk measure. VAR measures the maximum loss expected (or worst case scenario) for a portfolio over a given time period for a given confidence level (e.g. 95% or 99%.) The VAR risk measure includes a breakdown optionally by country, sector, and industry level.

Uses:
  • Reports For Clients.
  • Internal Portfolio Review.