Portfolio Hierarchy

The Portfolio Hierarchy window allows organizing and ordering portfolios into hierarchies. Portfolios can be of investment vehicles (fund or mandate), strategies, or custom portfolios (trade filters). Portfolios can be linked to one of several benchmarks, an investment profile, or investment rules.

From the Calypso Navigator, navigate to Configuration > Asset Management > Portfolio Hierarchy (menu action am.GroupHierarchyFrame) to bring up the Portfolio Hierarchy window.

All existing hierarchies are shown by default.

Define hierarchies as described below.

Then click

to save your changes.

Column Details

Columns	Description
Name	Displays the name of the portfolio.
Type	Displays the type of portfolio: Custom, Group, Strategy, Fund, or Mandate.
Currency	Displays the currency of the portfolio.
Book	Displays the book associated by default to the portfolio's new trades.
Reference	Displays a reference for the portfolio.
Description	Displays a description of the portfolio by listing its Name, Type, and Currency.
Primary Benchmark	Displays the main benchmark of the portfolio.
Secondary Benchmark	Displays the secondary benchmark.

1. Creating a Hierarchy

Click to add a hierarchy, and select the "Hierarchy" type.

You will be prompted to give it a name.

Then select the hierarchy and add portfolios as needed. This is described below.

For each portfolio, you can select the Treasury Portfolio which is the portfolio that contains the cash from subscriptions / redemptions, and the Book which is the default book when capturing trades in the Portfolio Workstation.

For each portfolio, you can specify more details in the Details panel. See below for complete details.

You can right-click a portfolio for additional functions like viewing associated trades and definitions.

2. Adding Portfolios to a Hierarchy

A hierarchy contains portfolios and groups of portfolios. A portfolio can be a fund, a mandate, a strategy, or a custom portfolio.

2.1 Group

Groups are used for grouping and sorting purposes within a hierarchy. Groups can be defined on several levels, but can only be added to a hierarchy or another group. A group cannot be added to a fund, mandate, strategy, or custom portfolio. However, you can add any type of portfolio to a group.

New Group

Click , and select the "Group" type, or right-click within the hierarchy, and choose New > Group from the popup menu. You will be prompted to give it a name.

Under a group, you can add: another group, a fund, a mandate, a strategy, or a custom portfolio.

Group Details

Modify the group details as needed, then click

Details	Description
Grouping Id	Displays the id given by the system upon saving.
Name	Displays the group name.
Type	Displays "Group".
Book	Not applicable.
Currency	Select a currency as needed.
MemberOf	Displays the parent portfolio or the hierarchy.
Membership	Displays the children portfolios.
External Reference	Enter an external reference for the group as needed.
Favorite Layouts	Select the favorite layouts for the Portfolio Workstation as needed. When you launch an analysis in the Portfolio Workstation from this portfolio, only the favorite layouts will be available for selection. If no favorite layouts are selected, all layouts will be available. See Portfolio Workstation for details on defining layouts.

2.2 Fund

Add Existing Fund

You can add a fund to a hierarchy or a group.

Right-click within the hierarchy, and choose Add Existing > Fund from the popup menu. You will be prompted to select a fund.

Under a fund, you can add a strategy.

Fund Details

Modify the fund details as needed, then click

Details	Description
Grouping Id	Displays the id given by the system upon saving.
Name	Displays the fund name.
Type	Displays "Fund".
Book	Displays the book associated with the fund.
Currency	Select a currency as needed.
Member Of	Displays the parent portfolio or the hierarchy.
Membership	Displays the children portfolios.
External Reference	Enter an external reference for the fund as needed.
Favorite Layouts	Select the favorite layouts for the Portfolio Workstation. When you launch an analysis in the Portfolio Workstation from this portfolio or from any strategies below it, only the favorite layouts will be available for selection. If no favorite layouts are selected, all layouts will be available. See Portfolio Workstation for details on defining layouts.
Benchmark Secondary Benchmark	Click ... to select a benchmark. See Defining Benchmarks for details on defining benchmarks.
Underlying Fund Id	Displays the underlying fund id.

2.3 Mandate

Add Existing Mandate

You can add a mandate to a hierarchy or a group.

Right-click within the hierarchy, and choose Add Existing > Mandate from the popup menu. You will be prompted to select a mandate.

Under a mandate, you can add a strategy.

Mandate Details

Modify the mandate details as needed, then click

Details	Description
Grouping Id	Displays the id given by the system upon saving.
Name	Displays the mandate name.
Type	Displays "Mandate".
Book	Displays the book associated with the mandate.
Currency	Select a currency as needed.
Member Of	Displays the parent portfolio or the hierarchy.
Membership	Displays the children portfolios.
External Reference	Enter an external reference for the mandate as needed.
Favorite Layouts	Select the favorite layouts for the Portfolio Workstation. When you launch an analysis in the Portfolio Workstation from this portfolio or from any strategies below it, only the favorite layouts will be available for selection. If no favorite layouts are selected, all layouts will be available. See Portfolio Workstation for details on defining layouts.
Benchmark Secondary Benchmark	Click ... to select a benchmark. See Defining Benchmarks for details on defining benchmarks.
Underlying Mandate Id	Displays the underlying mandate id.

2.4 Strategy

Strategies can be defined on several levels, and can be added to a hierarchy, group, fund, mandate, or another strategy. A strategy cannot be added to a custom portfolio. You can only add another strategy to an existing strategy.

New Strategy

Click , and select the "Strategy" type, or right-click within the hierarchy, and choose New > Strategy from the popup menu. You will be prompted to give it a name.

Under a strategy level, you can only add another strategy.

Add Existing Strategy

You can add a strategy to a hierarchy, group, fund, or mandate.

Right-click within the hierarchy, and choose Add Existing > Strategy from the popup menu. You will be prompted to select a strategy.

Strategy Details

Modify the strategy details as needed, then click

Details	Description
Grouping Id	Displays the id given by the system upon saving.
Name	Displays the strategy name.
Type	Displays "Strategy".
Book	Displays the book selected in the hierarchy - This is the default book when capturing trades in the Portfolio Workstation.
Currency	Select a currency as needed.
Member Of	Displays the parent portfolio or the hierarchy.
Membership	Displays the children portfolios.
External Reference	Enter an external reference for the strategy as needed.
Benchmark Secondary Benchmark	Click ... to select a benchmark. Benchmarks are created using Configuration > Asset Management > Benchmark from the Calypso Navigator. See Defining Benchmarks for details.
Underlying Strategy Id	Displays the underlying strategy id.
Is Currently Active	Appears checked if the strategy is currently active, or appears unchecked otherwise, based on the Start and End dates.
Perimeter	Select the perimeter: shared (the strategy is shared across multiple funds and mandates), or local (the strategy only applies to a given fund or mandate).
Start Date	Enter the active start date.
End Date	Enter the active end date.
Trading Basket	Click ... to select a default trading basket. A trading basket defined at the shared strategy level is not shared but belongs to the portfolio. This means that a shared strategy can have different trading baskets depending on the fund it belongs to. Trading baskets are created using Configuration > Asset Management > Trading Basket Definition from the Calypso Navigator. See Defining Trading Baskets for details.

2.5 Custom Portfolio

A custom portfolio is a trade filter.

New Custom Portfolio

Click , and select the "Custom" type, or right-click within the hierarchy, and choose New > Custom from the popup menu. You will be prompted to give it a name and select a trade filter.

You cannot add any other portfolio under a custom portfolio level.

Add Custom Portfolio

You can add a custom portfolio to a hierarchy or a group.

Right-click within the hierarchy, and choose Add Existing > Custom from the popup menu. You will be prompted to select a custom portfolio.

Ⓘ [NOTE: Custom portfolios can be used for all analysis and requires a position spec for position based. Official P&L based with or without cash. Only Pricing Analysis can be used to load trade by trades with no cash (no position spec in filter).]

Custom Portfolio Details

Modify the custom portfolio details as needed, then click

Details	Description
Grouping Id	Displays the id given by the system upon saving.
Name	Displays the custom portfolio name.
Type	Displays "Custom".
Book	Not applicable.
Currency	Select a currency as needed.
Member Of	Displays the parent portfolio or the hierarchy.
Membership	Displays the children portfolios.
External Reference	Enter an external reference for the custom portfolio as needed.
Favorite Layouts	Select the favorite layouts for the Portfolio Workstation. When you launch an analysis in the Portfolio Workstation from this portfolio, only the favorite layouts will be available for selection. If no favorite layouts are selected, all layouts will be available. See Portfolio Workstation for details on defining layouts.
Benchmark Secondary Benchmark	Click ... to select a benchmark. Benchmarks are created using Configuration > Asset Management > Benchmark from the Calypso Navigator. See Defining Benchmarks for details.
Trade Filter	Displays the trade filter associated with the custom portfolio.