In the SimCorp Dimension© platform, there are various ways to create custom groupings and aggregations using formulas defined directly in the Asset Manager. In this piece, we will go through ways in which these can be utilized.
In order to analyze portfolio data in the Asset Manager, it’s often required to create custom groupings. For example, in order to aggregate and display exposures and key ratios on levels not implied by either standard fields from security data, or by additional fields defined during implementation such as Security Group Codes or User Defined Key Ratios. This can either be for adhoc analysis or because the way you want to break down asset allocation or portfolio reporting has simply changed.
Naturally, security data may be enriched directly or by defining additional Security Group codes or even User Defined Key Ratios for this purpose in order to expand the basis for grouping in the Asset Manager. However, if the grouping is only relevant for on-the-fly analysis in the Asset Manager, it's often more flexible and faster to define the groupings by using the inbuilt formulas in the Asset Manager. Using formulas, it’s also possible to define more advanced groupings that can be dynamically controlled or include holding specific data such as model portfolio (strategy) which are not possible using logic that builds using securities level data.
Formulas can be defined in the Asset Manager by selecting the “Create Formula” menu in the “HOME” ribbon. This will open the formula editor specific for the Asset Manager. You must give your formula a name and a title, which is the field name you will see once the formula is added to (for example a portfolio sheet in your Asset Manager layout), as well as a category that will be the group under which you will find you new formula in the field selector.
As you will notice from the short description of the semantic, displayed until you start typing your formula, there are some differences from the semantic you probably know from the generic formulas used in other areas of SimCorp Dimension. Two of the most noticeable differences are the use of “==” instead of “=” for equality and “=!” instead of “<>” for inequality. The Field references and functions are also not identical.
Let’s consider the following example: You want to add a grouping level by applying logic to aggregate existing security data fields to create a higher level, but also consider information that is only available from the holding data to form a separate reporting group. On the highest level we want to see the following grouping:
- Cash and MM
- Tactical Investment
- Strategic Investment
The first group is a simple combination of two security types while the “Strategic Investments” can be different security types and will be identified by a model portfolio holding key.
The first part of a formula to build the groupings could look like this:
if SecurityType == “Bank Account” or SecurityType == “Deposit” then “Cash and MM” else
if ModelPortfolio == “STRAT” then “Tactical Investment”
To help you write the formula you can use the field/function selector on the left-hand side of the formula editor window to select the Fields available – most of the fields that are available in the Asset Manager can be used in the formula editor. Notice that for some of the fields, and probably most importantly for the field InstrumentType, the “return type” is not Text but InstrumentType. This means that to include the InstrumentType field for instance at the level under “Tactical Investments” the formula for the required logic using Instrument type would be:
If InstrumentType == InstrumentType.Equity then “Equity” else “Other”
When you type InstrumentType in the formula editor (the right-hand side pane) you will see all the Instrument types listed in the lower-left pane (where it reads “Members of Enum”). Notice that the instrument type names in some instances are not completely the same as in other parts of the system as there is no space between names. E.g the instrument type “Fund Certificate” is referenced here as “FundCertificate”.
Once you have saved your new formula and you return to the Asset Manager you should find your newly defined formula in the Field selector, and you can add it to any applet like the Portfolio sheet or a graph and use it for grouping, etc as with any other field. To display the asset allocation groups in the desired order you can right-click on your new formula field in the portfolio sheets and select “Custom Sort Editor”
If you load an existing formula and overwrite the Name and save it, a copy of the original formula will be created. So how can a formula then be deleted? This can only be done from the special “Formulas.NET” window which is not directly reachable from within the Asset Manager or the formula editor.
We hope this has shed some light on how better to navigate advanced grouping in Asset Manager. If you have anything else to add or any queries on the topic, please leave a comment below.