April 10, 2023 2013 PTT - All Rights Reserved 1
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]
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