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Allocare AG Allocare AG
Kantonsstrasse 3 Beethovenstrasse 19 Limited Access
CH-6246 Altishofen CH-8027 Zurich
phone +41 62 748 65 65 phone +41 44 455 62 44 [email protected]
fax +41 62 748 65 66 fax +41 44 455 62 49 www.allocare.com
Release Information
Allocare AMS & Allocare AMS Web
Release 16.3
July 2016
Release Information 16.3 Limited Access 2
Copyright and Comments
Copyright and Comments
Copyright (c) 2016 by Allocare AG, Kantonsstrasse 3, CH-6246 Altishofen/Switzerland.
www.allocare.com
Neither the document nor any portion of it may be distributed or reproduced in any form without
the explicit consent of Allocare AG. The name Allocare and the Allocare logo are trademarks of
Allocare AG, Altishofen.
The information contained in this document was written and carefully revised after thorough
research. Nevertheless, elimination of any errors or mistakes is not possible. The authors of Allo-
care AG cannot be made responsible for any consequences resulting from an accidental error or
mistake. In no event shall Allocare AG, or any employees of Allocare AG, be liable for any da m-
ages arising out of mistakes, misunderstandings, or errors contained in the information of this
document.
Most hardware and software referenced in this document are trademarks of the respective co m-
pany.
Release Information 16.3 Limited Access 3
Contents
Contents
1. Introduction ................................................................................................... 4
2. Summary ........................................................................................................ 5
3. Allocare AMS Portfolio .................................................................................. 6
3.1 General ........................................................................................................... 6
3.2 Investments ..................................................................................................... 7 3.3 Transactions .................................................................................................... 7 3.4 Methods and Attributes .................................................................................... 7 3.5 Compliance ..................................................................................................... 8 3.6 Trade Order Management ................................................................................ 9
3.7 Standard Reports ............................................................................................ 9 3.8 Document Library .......................................................................................... 13
4. Allocare AMS Executive .............................................................................. 15
5. Allocare AMS Integration ............................................................................ 15
6. Allocare AMS Web ....................................................................................... 16
7. System Requirements ................................................................................. 19
7.1 Operating Systems ........................................................................................ 19 7.2 Database Management Systems ................................................................... 19 7.3 Web Servers .................................................................................................. 19
7.4 Web Browsers ............................................................................................... 19 7.5 Installation Requirements .............................................................................. 20
8. Overview of Available Modules ................................................................... 21
8.1 Add-Ons ........................................................................................................ 21 8.2 Standard Interfaces ....................................................................................... 21
Release Information 16.3 Limited Access 4
Introduction
1. Introduction This release information describes the most important functionalities delivered by Allocare AMS
Release 16.3.
The delivery of the software releases is handled via support or project managers. For additional
information regarding functionality please contact our support:
Phone: +41 62 748 65 55
Fax: +41 62 748 65 59
Mail: [email protected]
Release Information 16.3 Limited Access 5
Summary
2. Summary This is a short summary of the major achievements in Allocare AMS release 16.3. Further en-
hancements are described in subsequent chapters.
Allocare AMS Portfolio
Quick Search Toolbar: A new Quick Search toolbar is available that allows searching for the
different application data (i.e. portfolios, investments, transactions etc.)) from one search box.
Enhanced Standard Reports
Relative Attribution: Page with factors of smoothing algorithm used to link sub-period
results. Intermediate results per subportfolio and sub-period can be displayed now.
Stress Testing: Up to three attribute levels are supported now (e.g. Asset Category, Cur-
rency and Risk Domicile)
Compliance: Legal Constraint Sets
UCITS V (Ireland): New constraint set to fulfil the requirements of the UCITS V law in
Ireland.
KKV (Switzerland): New KKV methods added to cover special cases of the Swiss fund
Law.
Document Library: New module to manage documents within the Allocare AMS applica-
tion. Reports and booklets generated by the system, newsletters and external documents (e.g.
report books from the file system) can be stored in the Document Library.
Allocare AMS Web
New Module Cash Flow Details: This module shows a detailed cash flow analysis for the
given set of parameters.
New Module Cash Flow Balance: This module allows users to search for cash account
balances.
Allocare AMS Integration
New Custodian Interfaces (BNP Paribas, Julius Bär Nassau) are available now
Allocare GDF: New feed layout P76 for corporate events
Allocare AMS Executive
Excel Support in Tree Export: Exported files can be written in Excel-compatible (XLS and
XLSX) formats.
Release Information 16.3 Limited Access 6
Allocare AMS Portfolio
3. Allocare AMS Portfolio
3.1 General
Quick Search Toolbar: A new Quick Search toolbar is available that allows searching for the
different application data (i.e. portfolios, investments, transactions etc.)) from one search box.
Figure 1: Quick Search Toolbar
The name, short description, identifier (from user options) or identifier via prefix can be given
to execute a search. If only one match is found, the respective editor opens up otherwise the
relevant list is displayed with the results.
Export Templates: When exporting data (via File | Export option), users can save the export
settings as an Export Template. Similarly, the Export Templates can be selected in the Export
dialog to apply the export settings from. The template stores the options (i.e. All / Selection,
Column Header, Row Header etc.) as well as the export file name and path.
Figure 2: Export Dialog - Export Templates
Release Information 16.3 Limited Access 7
Allocare AMS Portfolio
3.2 Investments
Contingent Convertibles: A new investment feature Contingent Convertibles (CoCos) is
available. This feature is used to define the mandatory conversion to the shares based on Tier
2 ratio or other contingency events. It is used in the calculation of commitment for fund rela t-
ed methods.
Figure 3: Contingent Convertibles Feature
3.3 Transactions
Transaction List: New columns ‘Value’ and ‘Value (2)’ can be displayed in the list. Value
shows the value of the transaction (corresponds to the Value field in transaction GUI). Value
2 shows the value of the second leg for swaps or in case of an exercise or similar transactions.
Figure 4: Transaction List - New Columns 'Value' and 'Value 2'
3.4 Methods and Attributes
New Attributes:
Two new investment base attributes are available:
Barrier Option: It specifies if an investment has a feature of type ‘Barrier Option’.
Barrier Style: It is a multi-value attribute showing all different Barrier Styles defined for an
investment.
Both the above attributes can be used within the Derived Attributes.
Release Information 16.3 Limited Access 8
Allocare AMS Portfolio
New Methods:
Barrier Count: This method shows the count of all ‘Barrier Option’ features of an instrument
irrespective of whether these are active or not.
Value Abs Group: This method shows the sum of the total ‘absolute’ value of positions in
each group. The groups are based on the Grouping DA (Derived Attribute) specified in the
Method Attribute settings.
Weighted Value: This method shows the values of positions weighted by a factor specified in
the Derived Attribute ‘Weighted Value’ (in the Parameter tab of the Attributes editor).
Day to Mat: (Days to Maturity). This method shows the number of days until maturity (when
the maturity date comes after the as-of-date). It can be used within a Derived Attribute for
check in transaction constraints.
Total Fund Value / Total Fund Value %: These methods show the respective values based
on the delivered time series of type ‘Total Fund Value’ linked to the corresponding Issuer. No
result is shown for a group where different Issuers or different Time Series Schema co -exist.
Miscellaneous:
Calculate Statistics at Portfolio Level: The following methods are available for statistics
calculation at portfolio level: ‘Pfo AI Daily’, ‘TWR Ccy Daily’, ‘TWR Local Daily’ and ‘Pfo
Value Clean Daily’. Additionally, ‘AIF Commitment %’ and ‘AIF Gross %’ can also be cal-
culated at the portfolio level.
3.5 Compliance
Legal constraints based on KKV (for Switzerland): New KKV methods that cover certain
special cases of the Swiss Fund Law have been added in the application. These methods are
used in an adjusted constraint set to verify the compliance with the “Kollektivanlagen-
verordnung-FINMA”.
Legal constraint set based on UCITS V (for Ireland): A new constraint set to fulfil the
requirements of the UCITS V law in Ireland has been added into Allocare AMS.
Release Information 16.3 Limited Access 9
Allocare AMS Portfolio
3.6 Trade Order Management
FX Option Order Editor Fields: The Barrier and Double Barrier fields in the FX Option
Order editor can be set to hidden. The setting can be made in the XML configuration of the
respective order group in the Code Values editor (category ‘Order Group’).
Figure 5: FX Options Order Group - XML Configuration (Code Values Editor)
Order List: A new column ‘Market Value’ has been added to the order list. It is computed as
Nominal/Quantity times Market or Limit Price. The ‘Market Value’ is applicable also for i n-
vestments based on future valuation or swaps. The ‘Value’ on the other hand is calculated
based on the account view, and therefore has another sign or no value in case of futures etc.
Figure 6: Order List - Market Value Column
3.7 Standard Reports
Enhanced Reports:
Fixed Income Attribution – KRD Methodology: A new option ‘Suppress Curve & Dura-
tion, if 0’ is added. When this option is marked, the column block “Curve & Duration” will be
suppressed in case the related values for “Twist” and “Shift” are 0 (e.g. when no bonds in the
portfolio).
Relative Attribution: The GUI option ‘Show Factor List’ when marked, now includes the
following two additional pages to the report in order to display the factors used by calculation
methods:
Release Information 16.3 Limited Access 10
Allocare AMS Portfolio
Figure 7: Factors of smoothing algorithm used to link the sub-period results
Figure 8: Intermediate results per subportfolio and sub-period including adjustments
Release Information 16.3 Limited Access 11
Allocare AMS Portfolio
Values shown in the Effects of Attribution columns are taken from the respective time series.
These are the daily / monthly attribution values computed for each sub-period (using the Brinson
/ Fachler method).
Values shown in the Intermediate Results column are the daily / monthly attribution values a d-
justed with the linking factors. To compute the adjusted value for each sub-period, its attribution
time series value (Effects of Attribution column above) is multiplied with the respective Beta Opt
value (see Figure 9). All sub-period adjusted values are summed up to get the final value (Note:
The final values are displayed rounded up to two decimal places on page 1 of the Report.). See
section 8.5 Performance Attribution Methods in the Allocare AMS Methods Manual for computa-
tional details.
Stress Testing: The reports ‘Stress Testing’, ‘Stress Testing – Portfolio Comparison’ and
‘Stress Testing – Methods Comparison’ support up to three attribute levels in the pattern defi-
nitions (operator ‘any’). The GUI options for all 3 reports have been extended with the fo l-
lowing:
Subportfolio - Pattern Definition: Adjacent to the Pattern Definition field, dropdowns
are available to select the sorting criteria and the sorting order.
Display Sorting: The report allows defining an arrangement at two different levels with
the options ‘Show Level 1/2/3’ and ‘Ref First’ available separately for each level.
Figure 9: Stress Testing Report Showing the Results Organized in Different Levels
Release Information 16.3 Limited Access 12
Allocare AMS Portfolio
Various Charting Enhancements: 3D charts have been transformed to 2D standard repre-
sentation. In several reports, where appropriate, two charts on two separate pages have been
combined to be displayed together as one chart.
Figure 10: Two Graphs Combined Together in One
Miscellaneous:
PDF/A-1b: Reports can now be created in the ‘PDF/A-1b format’. The PDF/A-1b format
ensures reliable reproduction of the visual appearance of a document. A new version of the
PDF library (dynapdf3.dll) is deployed.
Print Job Periodicity: The new periodicity ‘Month except Quarter End’ executes the print
job at the end of every month except for at the end of the last month of a quarter. For exa m-
ple, a report can be printed at the end of January, February, April, May and July using this o p-
tion.
Figure 11: Report Definition - ‘Month except Quarter End’ Periodicity
Release Information 16.3 Limited Access 13
Allocare AMS Portfolio
3.8 Document Library
A new Document Library module is now available. It enables users to manage documents within
the Allocare AMS application. Reports and booklets generated by the system, newsletters and
external documents (e.g. report books from the file system) can be stored in the Document Li-
brary. For limited access, the documents are treated as security objects. The 4 -eye principle for
publishing documents can also be implemented making use of the different rights and permis-
sions available for documents.
Adding Documents
A new document can be manually added to the library using the Document editor (File | New |
Document):
Figure 12: Document Editor - General Tab
The document can be attached and different document properties can be defined for it.
Note: A Status is available in the document properties that can be set to ‘Draft’,
‘To be Reviewed’ or ‘Published’ by users with appropriate permissions.
Release Information 16.3 Limited Access 14
Allocare AMS Portfolio
Reports generated by the application can also be added to the Document Library. The Document
Library is available as an option for the Output Location of reports:
Figure 13: Report GUI Output Tab - Save to Document Library
The resulting report output is treated as documents thereby offering an improved security and
better search options.
Searching Documents
A Search dialog is available for users to enter the relevant options and execute a search for r e-
quired document(s):
Figure 14: Search Document - General Tab
Document List
The document list (Edit | Document List) automatically shows all documents for which the cu r-
rent user holds appropriate access rights:
Figure 15: Document List
Searched documents are also displayed in the document list. Besides the regular list operations,
document status can be updated using the Promote operation in the list.
Release Information 16.3 Limited Access 15
Allocare AMS Executive
4. Allocare AMS Executive Method Data Generation (Tree Export):
Excel Support: Exported files can be written in Excel-compatible (XLS and XLSX) formats.
Various options for formatting the output are available. These include showing column / row
headers, indentation and exporting to single / multiple sheets in an Excel file.
Flexible Filenames: The output filenames may contain placeholders. For Example, FileName
Analysis_%p_%d where %p and %d are placeholders for the portfolio name and the as-of-date
respectively. A complete list of placeholders is available in the Allocare AMS Executive User
Manual. The output filename can also be controlled using the command line options –
FileName and –ForceFileName.
Reference Portfolios: Reference portfolios can be specified similar to the working portfolios.
As a consequence, Difference methods are also supported now.
Working Templates: Exported files can be organized as per a given breakdown from the
specified working template (as used in the Analysis Tree).
5. Allocare AMS Integration New Custodian Interfaces are available now:
BNP Paribas: This interface covers a wide range of transaction types, investment data, mar-
ket data and automated reconciliation is available.
Julius Bär (Nassau): This interface covers a wide range of transaction types. Reconciliation
is available on request.
Allocare GDF (General Data Feed):
Corporate Events: New feed layout P76 is available to import and export corporate events.
One Sided Reversal Transactions: A new option ONE_SIDED_STORNO is available in
order to allow one sided reversal transactions in P11. This option is available only for pattern
reversal matching.
Delta Load: Delta load has been extended with options CHECK_UPDATE_ON_FLY and
CHECK_IN_DB. These options improve the flexibility and performance of loading GDF data.
Release Information 16.3 Limited Access 16
Allocare AMS Web
6. Allocare AMS Web New Modules:
Cash Flow Details: This module shows a detailed cash flow analysis for the given set of
parameters.
Figure 16: New Web Module - Cash Flow Details
Cash Balance: This module allows users to search for cash account balances.
Figure 17: New Web Module - Cash Balance
New Dashboard Components:
The following two new dashboard components are available for use in the Page Composer:
Allocation List
Portfolio List
Release Information 16.3 Limited Access 17
Allocare AMS Web
Enhanced Security:
Trusted connections can be used with Allocare AMS Web opened locally on the server.
In order to access a web service via the web application, the web service URL must be speci-
fied explicitly. If however only a protocol change is required in the web service URL (e.g.
http:// instead of https://), the application can be configured to change the protocol auto-
matically.
To avoid Cross-Site Scripting (XSS) attacks, the application blocks requests containing spe-
cial characters.
Web Reporting:
PDF Exporting Engine: A new version of the PDF exporting engine based on Active Reports
9.5 has been integrated in the application.
Report Books: Report books can be executed directly from Allocare AMS Web. The result-
ing PDF appears among the other published reports.
Figure 18: Generating Report Books from Web
Miscellaneous:
Analysis Tree: Two new options (collapse and expand branch) are available in the Analysis
Tree context menu:
Figure 19: New Context Menu Options in Analysis Tree - Allocare AMS Web
Release Information 16.3 Limited Access 18
Allocare AMS Web
Enhanced Charts: A new chart engine was integrated. Automatic label slanting instead of
staggering is used now. The value axis reacts dynamically to the chart series selected.
Figure 20: Web Charts - More Legible (slanting) Labels across X-Axis
Release Information 16.3 Limited Access 19
System Requirements
7. System Requirements
7.1 Operating Systems
Allocare AMS Release 16.3 supports the following operating systems:
Windows 10 is supported for workstations.
Windows 8 and Windows 8.1 are supported for workstations.
Windows 7 (SP1) is supported for workstations.
Windows Vista (SP2) is supported for workstations.
Windows Server 2012 and Windows Server 2012 R2 are supported as server operating sys-
tem running Microsoft SQL Server or Internet Information Services.
Windows Server 2008 and Windows Server 2008 R2 are supported as server operating sys-
tem running Microsoft SQL Server or Internet Information Services (SP1 required for SQL
Server installation).
7.2 Database Management Systems
Allocare AMS Release 16.3 supports the following database management systems:
Microsoft SQL Server 2014 (Service Pack 1)
Microsoft SQL Server 2012 (Service Pack 3)
Microsoft SQL Server 2008 R2 (Service Pack 3 recommended, enable trace flag 4135).
Microsoft SQL Server 2008 (Service Pack 4 required, enable trace flag 4135).
SQL Server Native Client 10.0 (2008) and 11.0 (2012).
7.3 Web Servers
Allocare AMS Web Release 16.3 will run on Microsoft IIS 7.0 and 8.5.
ASP.NET 4.5 (Microsoft .NET Framework 4.5 is required).
7.4 Web Browsers
Allocare AMS Web Release 16.3 supports the following browsers:
Microsoft Internet Explorer version 8.0 up to 11.0
Microsoft Edge (Windows 10)
Firefox 46
Chrome 50.0
Safari 8.0 on Macintosh
Note: The supported upper version can be configured in the Allocare AMS
configuration file. As long as a newer version is backward compatible,
only the configuration file needs to be changed.
Release Information 16.3 Limited Access 20
System Requirements
7.5 Installation Requirements
An important installation prerequisite is the Microsoft Visual C++ 2015 Redistributable –
14.0.23918 that must be available on a client machine before installing the Allocare AMS appli-
cation suite. When the Allocare AMS installation is executed through the Setup executable pro-
vided on the installation CD, the redistributable is automatically installed (if not already avail a-
ble). Users may also install it manually on to their systems.
The Microsoft Visual C++ Redistributable installation also includes the Update for Universal C
Runtime in Windows. Note that when Allocare AMS is installed by copying all files from the
installation CD, the Update for Universal C Runtime in Windows (KB2999226) must be installed
on the system manually (if not already installed by the Windows Update).
Release Information 16.3 Limited Access 21
Overview of Available Modules
8. Overview of Available Modules
8.1 Add-Ons
Module Description
FPV / TSS Flexible Portfolio Valuation / Time Series Schema
Value at Risk (VaR) Value at Risk Analysis (historic, Monte Carlo, RiskMetrics)
Scenario/ Stress
Testing
Scenario and Stress Testing Analysis
RTV Real Time Valuation (prices, FX)
FIA Fixed Income Attribution
MFC Management and Performance Fee Calculation
TCC Transaction Cost Calculation (including Actual/Target Cost Analysis)
GIPS Composite Management
BRM Breach Management
Legal Constraints1) Legal/Regulatory Constraints for funds
Corporate Actions Automated processing of corporate actions
Allocare AMS Web Web based solution for investors and asset owners to analyze portfolios
anytime and anywhere
Tax Reporting1) Tax Reporting for several countries
Customized 1)
Reporting
Customized reporting in your look & feel based on individual require-
ments
8.2 Standard Interfaces
Module Description
Allocare GDF Allocare General Data Feed (GDF) is a standard interface to import data
and export data from an Allocare AMS Database.
Market Data1) Interfaces to market data providers (e.g. SIX Financial Information,
Bloomberg)
Custodians1) Interfaces to more than ten custodians (e.g. State Street, UBS, Pictet,
…) in multiple booking centers
Orders1) Interfaces to Brokers/Trading platforms (e.g. Bloomberg TSOX /
EMSX)
Settlement
Instructions
Instructions for custodians and brokers
Core Applications1) Interfaces to Core Banking (e.g. Avaloq) or Investment and Fund Ac-
counting Systems (e.g. GP3, SAP)
1) Please contact Allocare Support for latest information on coverage.
Release Information 16.3 Limited Access 22
Overview of Available Modules
Appendix: Table of Figures
Figure 1: Quick Search Toolbar ........................................................................................... 6 Figure 2: Export Dialog - Export Templates ........................................................................ 6 Figure 3: Contingent Convertibles Feature.......................................................................... 7
Figure 4: Transaction List - New Columns 'Value' and 'Value 2' ......................................... 7 Figure 5: FX Options Order Group - XML Configuration (Code Values Editor) .................. 9 Figure 6: Order List - Market Value Column ........................................................................ 9 Figure 7: Factors of smoothing algorithm used to link the sub-period results ................... 10 Figure 8: Intermediate results per subportfolio and sub-period including adjustments ..... 10
Figure 9: Stress Testing Report Showing the Results Organized in Different Levels ....... 11 Figure 10: Two Graphs Combined Together in One ......................................................... 12 Figure 11: Report Definition - ‘Month except Quarter End’ Periodicity .............................. 12 Figure 12: Document Editor - General Tab ....................................................................... 13
Figure 13: Report GUI Output Tab - Save to Document Library ....................................... 14 Figure 14: Search Document - General Tab ..................................................................... 14 Figure 15: Document List................................................................................................... 14
Figure 16: New Web Module - Cash Flow Details ............................................................. 16 Figure 17: New Web Module - Cash Balance ................................................................... 16 Figure 18: Generating Report Books from Web ................................................................ 17 Figure 19: New Context Menu Options in Analysis Tree - Allocare AMS Web ................. 17
Figure 20: Web Charts - More Legible (slanting) Labels across X-Axis ............................ 18