Easily pull MTM data into your sheets.

• Save time and eliminate errors by using the PF.MTM function to extract MTM details for any specified date.
• For example – pull the all-in price, clean price, modified duration, convexity of any listed bond going back to 27 Dec 2005.

PSec GEARS stores yield curves and bond data information from the JSE. You can extract this stored information using a single function.

• extract the entire bond or swap yield curve or a specific point on any of the curves (e.g. the 10-year point) for a specific date.
• extract information about a bond – e.g. its maturity date, issuer, next coupon date, etc.

Having this data so easily accessible enables you to quickly and efficiently perform rich and layered analyses.

• The evolution of the Bond, Real and Swap term structures over time.
• The evolution of a specified point on the curve over time (e.g. 10 year rate)
• The evolution of the spread between any of these rates (e.g. bond-swap spread)

Breakeven inflation can be calculated using conventional “short-cuts” or a more mathematically rigorous approach (with the different approaches yielding different results).

• Calculate breakeven using the nearest ILB and nominal bonds.
• Calculate breakeven using yield curves.
• Compare the above approaches.
• Testing for stationarity of breakeven inflation over a period (i.e. is this value trending or mean reverting).

The image below depicts the breakeven inflation yields between the government nominal yield curve and inflation-linked bonds.

The Efficient Frontier is the optimal - risk-minimising - combination of assets (from any universe of assets) for a targeted level of return.

• Track and compare your portfolio to the frontier of optimal portfolios over time.
• Extract weights allocated per asset in each optimal portfolio.
• Extract portfolio analytics for your portfolio, the optimal portfolios and your benchmark.

Output from the tool can easily be co-opted into presentations and the visualisation can enhance your understanding of the relationships in your portfolio.

Asset allocation and instrument selection is a key tenant of portfolio construction. Understanding the relationships between the assets (and ultimately the risks of the assets) is crucial to effective risk management.

The Hierarchical Cluster Analysis Tool enables you to examine the natural, data-driven groupings and sub-groupings amongst a set of assets. The groupings are achieved through various algorithms and machine learning techniques.

Starting on the right of the screen, assets which are most similar in behaviour are grouped at the finest level. Moving left across the screen, these subgroupings are combined and the relationship between these subgroups is then given. For example, we see that the group of EM Bond Index and USDZAR is similar to the larger grouping of MSCI World Index, INDI25TR Index and TOP40TR Index.

• Track portfolio return considering rebalancing, transaction costs and dividend yields.
• Some standard risk and performance metrics: Sharpe Ratio, Omega Ratio, Tracking Error, Information Ratio, Beta, Max Drawdown, and many more.

An elegant model to visually inspect various current and historical currency volatility skews and term structures as published by Bloomberg. The model also enables elementary distribution and spread analysis for a given date range.

You can price various derivatives (e.g. Black Scholes Futures, Single Step Barrier Options, Parisian Options) and options strategies (e.g. Long Fence, Collar) using PSec GEARS. Our derivatives demo sheet provides interactive 3D graphs of the option price or Greeks versus time to maturity and asset price. The image below graphs the Delta of a Long-American Call Futures Option.

In addition to our Analytical Function Suite, supporting clients also have access to the PSec Research Portal. Here you will find a comprehensive, searchable, and easy-to-navigate repository of all our research to date. This ranges from formal quantitative and fundamental equity research to market intelligence produced by our respective trading desks.

• Weighted Average Cost of Capital.
• Dividend Discount Model.
• Free Cash Flow Model.
• Free Cash Flow to Firm.
• Total Return Decomposition.

More models and reports can be accessed upon request.

Insert custom data labels on your graphs – ideal for presentations and analysis.

The Late Shove report provides a synopsis of the activity in the daily closing auction across the Top 40, Mid Cap and Small Cap indices. It enables traders and investors to identify specific stocks that have experienced unusual moves in the auction to better trade these moves.

Our daily Volatility and Volume (Vol Vol) report visualises how the general market is trading in terms of intraday volatility and volume across the Top 40, Mid Cap and Small Cap Indices. The intraday volatilities and volumes are calculated per stock and compared to their 5- and 20-day historical averages.

Using this report, you can identify which stocks are behaving out of the ordinary and how to approach your trading of these stocks.

PSec GEARS provides you with an incredibly powerful pricing engine to calculate properties of various South African fixed income instruments. The pricing engine uses a background data store which considers coupon dates and flows, published CPI data, and nuanced South African pricing conventions. This enables superior analysis and workflow.

• Price listed Nominal and ILB bonds (all in price, clean prices).
• Calculate modified duration, RPP, convexity and more of listed bonds.
• Price listed bonds given a shift in the yield curve.
• Price swaps and calculate the RPP of the each of the legs.
• Price FRNs and convertible bonds.
• Calculate the total return of Nominal and ILB bonds over a period, taking into account reinvestment in cash or the bond and available CPI rates.

Using PSec GEARS, you can explore your data and better understand the underlying relationships between your assets, as well as between your assets and market factors.

• Principal component analysis
• Multifactor regressions
• Debiased covariance/correlation matrix estimators
• Cointegration and stationarity tests

PSec GEARS has extensive help documentation. The help documentation describes how to use the functions and tools, and explains the theory behind many of the functions – making for quick refreshers and an educational platform.