To build a portfolio management reporting model computing various aspects of a portfolio including portfolio return, capital
gain/loss, and risk metrics. The objective of this workbook is to automate various portfolio computations as this workbook will later
Objective
List of computations
Note: Financial modeller will work
together with Investment associate
List of scenarios
be used for UAT purposes
1. Portfolio valuation
2. Portfolio return: TWRR, XIRR, CAGR
3. Portfolio performance Vs Benchmark performance
4. Portfolio income return
5. Risk metrics: Sharpe ratio, Treynor ratio, VaR, Max Drawdown, Value added return, Peak portfolio value, lowest portfolio value,
Portfolio maximum drawdown value, Max drawdown (%), Max drawdown date, Calmar ratio, Expected Shortfall
6. Security contribution
7. Performance by asset class, industry
8. Capital gain/loss : realised, unrealised, investment movement
9. Preparation of income, expense, cash management, and sale of CGT worksheets. This includes: workings of income (Dividend,
TDS, rental income, income declared but not received), expense (Portfolio management fees, bank charges etc, GST implication and
impact), cash management (to be built as pseudo cash management, allow for cash management for model portfolio advisors which
allows for pooling of money and investment), CGT (short term, long term capital gain, computation of cost base under indexation
method, actual cost, cost base unknown), portfolio management fees (Fixed, variable, hybrid, hurdle rate, catch up, waterfall),
unsettled transactions (excel to allow for T+1, T+2, T+3 settlement period), computation of model portfolio
1. All computations to be done before and after expenses.
2. CGT scenarios to be incorporated
3. Including/excluding an asset class
4. Impact of contribution and withdrawal on the portfolio returns
5. Working of Pooled portfolio: This is to be a word document, just explaining the process of creation and maintaining a managend
portfolio
 1. Complete excel workbook
2. Detailed process followed
Deilverables
3. List of assumptions and formulae used
4. Cross reference to Indian accounting standards where necessary
1. Ability to write complicated formulae in excel
2. Building complex macros, vba coding
Skill requirement
3. Experience in fund accounting
4. Good knowledge of stock market