Analysis and statistics

The respected methods of W. James/C. Stein and H. Markowitz are applied to estimate expected yields and to calculate yield, correlation and volatility out of the share prices of up to 230.000 stocks. The analyst can use a drop-down menu to manage the expected yield of the assetclasses, the subassetclasses or even single bonds for the whole platform

Our algorithms and statistical methods base on
the theories of:

• Markowitz
• James / Stein
• Bayes

The exact calculation of the correlation-matrix allows to identify portfolio cluster risks and precisely display diversification effects.

Product compilation/creation/preparation

Technically C.R.I.S. allows the compilation of every current financial product for the customer – either by setting up standard products (ad-hoc distribution based on analyst presetting) or by optimisation according to Markowitz. Here it can be distinguished between allocations by individual bonds or strategical allocations by asset- or sub-assetclasses

While compiling your personalized product, you can implement your own forms, product documentations and analysis-templates for every individual product or entire product groups, which are then automatically connected to/created for the respective customer data (including the actual portfolio)

Possible products:

• Basket of assets
• Optimised sample portfolios
• Standardized asset management
• Strategical allocation by
  assetclass / subassetclass
• Strategical portfolio optimisation by
  assetclass / subassetclass

Portfoliooptimisation

Markowitz put to practical use
What is special about our portfolio optimisation according to Markowitz, is the precise controllability of:

• the selection of the bonds / assetclasses
• yield prospect
• auxiliary conditions

You can choose your ideal portfolio on a graph (efficient frontier) based on your presettings. You can distinguish between portfolios by individual bonds or strategical portfolios by assetclass / subassetclassallocation

To guarantee an objective comparability for your results, we offer a benchmark optimisation by selected indices.

Risk control

By using volatility- or other key data limits, the risk is either checked periodically or on demand. The risk control system has three levels:

• Product: Risk check during the creation and risk classification of products.
• Offer: After first being adjusted and modified, every submitted portfolio is checked for its suitability to the customers risk class.
• Customer: Every depot of the customer as well as whole portfolios are checked for volatilities and investment limits overnight.

With a daily customercheck, our system reviews all customer depots and entire portfolios target/status quo comparsion every 24 hours. If key data limits are breached, a portfolio alarm is automatically generated for:

• Risk class breach
• Investment limit adjustment
• Stop-loss
• Assetclass adjustment