Solutions
Proto Solutions for Financial Services
Proto Financial has been used to build decision support dashboards ranging from P&L attribution reports for CFOs to pre-trade analysis tools for traders and research analysts. Case studies and non-proprietary example solutions including screen shots are available below.
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Case Studies
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Daily Portfolio Metrics
A Daily Dashboard to Generate and Explore Key Portfolio Exposure and Risk Metrics Using Prime Broker Files |
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Screening with an LBO Model
Use an Excel-based LBO Model and Capital IQ to Screen Hundreds of Companies Based on Model Output |
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Month-End CFO Reporting Workflow
Integrating Prime Broker Files to Generate Accurate Month-End P&L and Exposure by Security |
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Portfolio Exposure Snapshot
Portfolio Exposure Snapshot for Selected Months With Exposure by Category and Top/Bottom Aggregates |
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Historical P&L Attribution
Generating P&L Attribution Reports by Category and by Security Over a Selected Timeframe |
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Historical Data Integration
Integrating, Cleaning and Testing a Historical Record of Monthly P&L Contribution and Exposure per Security |
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Broker Commission Analysis
A Solution to Track Budget vs. Actual and View Trends in Trading Commissions Paid to Brokers |
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VWAP P&L Scorecard
A Dashboard that Transparently Presents Best Execution to Enable Optimal Ongoing Trade Order Allocation |
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RMBS Comparative Metrics Screening Dashboard
Calculate Custom Metrics to Compare Residential Mortgage Backed Security (RMBS) Loan Files |
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Option Package Analysis
Quickly Model Simple Equity Option Packages and Visually Explore the Payout Sensitivities |
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Trade Timing Analysis
Visual Analysis of the Trade Entry and Exit Points including Summarization of Net Cash Flow and Quantity |
Example Custom Solutions for Financial Services
Hedge Funds and Asset Managers
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Sell-side Sales and Trading
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Daily Portfolio Overview Dashboards
Every fund is different, and every PM, trader, CFO, and analyst has different information they want to see updated on a daily and intra-day basis. From standard exposure reporting and top/bottom positions to custom calculations and rankings of liquidity, correlation or beta adjusted exposure, each person's view is unique. All of the information is available in one of your flat-file reports or through standard calculations, but how do you automate the processing and integration to get everything you need, in one carefully organized and interactive dashboard? Proto automates the integration and calculations and provides and interface to explore your portfolio with unparalleled control, flexibility, and interactivity. Other Proto tools can be driven from selections in your dashboard to drill into both information details and further analytic explorations. Get the aggregate and high-level picture of your portfolio and get one-click access to the details you need to investigate opportunities and exceptions.
Liquidity Adjusted Theoretical VAR and Historical Worst Periods
When you trade sizeable positions in thinly traded securities, your VAR is complicated by your ability to exit or cover a position without moving the market. If it takes you 9 days to cover a short, what is the best measure of your 9 day VAR? You may assume that generally you can trade up to 15% of the daily volume, but you may also want to fine tune certain positions where you believe the depth of the market would allow you to trade only 10% or up to 30% of the average daily volume. Equally important is how strongly the security trends when it makes a move. For this reason, if your position will take 9 days to exit, it is important to compare your theoretical VAR with how the security actually performed over the worst 9-day windows. Proto is perfect for automating, analyzing, and presenting this type of custom metric. By seamlessly fetching, manipulating, filtering, grouping, and performing calculations on tabular sets of data, Proto turns what would be a fragile and manual Excel application into an intuitive and interactive dashboard to truly understand the VAR of your illiquid positions.
Bloomberg Automation & Overrides
Proto makes it possible to create dynamic, extensible, and automated user interfaces that connect directly to Bloomberg. You can create interactive sensitivity screens, sensitivity tables, and graphs to re-price bonds, options, and any other product that Bloomberg supports through field overrides to the equivalent BLP function.. Or for equities, you can grab a VWAP over an intra-day time period and relative performance values to indices of your choice. Proto supports the equivalent of both the BLP and BLPH functions so that along with overrides, you can also pull in historical and real time data. Building interactive workflows and analysis around multiple sets of tabular data is a perfect job for Proto that is unnecessarily awkward and brittle when built in a spreadsheet.
Interactive Excel Sensitizing & Sensitivity Table Automation
Proto is able to communicate with open Excel workbooks to write values, read values, and cause Excel recalculation. This enables any Excel workbook, including those that rely on custom Add-Ins, to be leveraged behind the scenes for deeper or visual analysis. As examples, an Excel model with eight assumptions may be turned into an interactive dashboard that illustrates the change in a set of outputs as the assumptions are varied in real time "What If?" analysis. Or for a client or management presentation, you can easily save and recall a set of assumptions to display interesting edge cases and considerations without manually re-entering assumptions or worrying about complex nested-if statement in Excel. If the Excel model takes seconds or even minutes to recalculate, as it may in some complex and proprietary pricing workbooks, Proto can automate the calculation of tens and hundreds of scenarios for stepped increments so that you can explore these scenarios after pre-processing them. You can use any existing Excel model to run sensitivity tables, or as the logic to create custom screens around models as in this LBO example.
Blotters, Data Capture, and Database Front-ends
Ad-hoc data collection, management, and information mining are challenges in all lines of work. But for sales, trading, and brokerage desks, an often untapped source of proprietary market data can be generated by tracking market color, deal flow, and client inquiries. You pay thousands of dollars for commodity data, but information that only your desk sees is unnecessarily lost or written in the margins of a notebook where it can not be leveraged. Proto makes it possible to set up databases and front end screens in literally minutes. Get critical, decision-changing information out of Excel sheets and spiral-bound notebooks to make it available in the instant that it matters. Work the same data into EOD activity reports and overview dashboards for your internal view, or send out sanitized reports to clients showing summarized activity, markets, and prints for OTC products.
Portfolio Rebalancing and Order Output to Excel
Everyone rebalances with different frequency and for different reasons: managing on/off shore drift, capital deposits and withdrawals, reducing beta in times of market volatility, or maintaining a portfolio strategy by rebalancing sector exposure or net long/short ratios. Proto can provide you with generic templates to pick rebalancing categories on the fly, or you can save screens to rebalance to standard ratios and metrics. Automatically calculate buy/sell orders with shares rounded to the level of your choice (1, 10, 100) and see what the net impact will be to cash from the activity. With one click, export the orders to Excel or a CSV to send them to your OMS. You can seamlessly perform a second allocation to send orders through multiple trading accounts.
Multi-prime Integration with a Master Security Table
Consolidating reports in different formats from multiple prime-brokers can be an error prone and manual task. The pieces of your portfolio need to be normalized, cleaned, integrated, and then combined with your Master Security Table to replace mis-categorizations and augment the data with information you track such as strategy, PM, trader, or any calculated groupings. Proto makes it possible to automate this series of operations, pulling the information together with the click of a button. This consolidated version of the truth with your categorizations of securities can drive summary exposure and P&L dashboards, real time dashboards, or any other Proto view. Store these consolidated portfolio snapshots daily in a simple database to build an asset for historical analysis and comparison across time periods.
