SD-09.5 — Investment Analytics & Insight

Business Domain: BD-09 Performance & Analytics (Middle office) · Applies: BOTH

Purpose

Produces the forward-looking and diagnostic analytics that inform investment decisions — factor and exposure analytics, what-if analysis, portfolio diagnostics, peer comparison. Where SD-09.1, SD-09.2 and SD-09.3 are the ex-post account of results (what return, from where, was it worth the risk), Investment Analytics & Insight is the ex-ante and diagnostic service: the analysis the front office uses to decide what to do next. It is the analytical workbench of the middle office.

The boundary is deliberate: ex-post realised risk-adjusted performance is SD-09.3 Performance Appraisal, not here; ESG and climate data is SD-13.9 ESG & Sustainability Data and climate-risk analytics is SD-07.8 Climate Risk Analytics — SD-09.5 consumes those as inputs to portfolio diagnostics but does not produce them.

Service Operations

Factor and exposure analytics — decompose a portfolio’s risk and return into systematic factor exposures; the factor model other domains (SD-09.2 attribution, SD-09.3 appraisal) consume.
What-if analysis — model the effect of a hypothetical, deliberate portfolio change before it is made (distinct from BD-07’s stress testing, which models adverse market scenarios, not deliberate portfolio changes).
Portfolio diagnostics — characterise a portfolio: concentration, active share, factor tilts, style, liquidity profile.
Ex-ante return and risk analytics — forward-looking expected-return and tracking-error analysis.
Goals-based forward-looking measurement — for a wealth manager running goals-based allocation (SD-01.13), compute the probability of meeting each goal as a forward-looking measure on the per-goal sub-portfolio, consuming the goal hierarchy and the per-goal target allocation SD-01.13 produces. The probability-of-meeting-goal measure sits alongside the composite return on the wealth-manager performance row in the BD-09 README.
Peer and universe comparison — position a portfolio or fund against a peer universe.
Interactive and self-service analytics — the analytical workbench for one-off and exploratory questions across the investment data estate.

Inputs and outputs

Inputs: holdings and valuations; market and reference data; benchmark data; classifications; ESG data (SD-13.9) and climate-risk analytics (SD-07.8); the return, attribution and appraisal outputs of SD-09.1 / SD-09.2 / SD-09.3; the goal hierarchy and per-goal target allocation from SD-01.13 (the inputs to the probability-of-meeting-goal computation).
Outputs: analytics and diagnostics consumed by the front-office decision domains (BD-01 allocation, BD-04 deal screening, BD-05 portfolio management), by SD-09.2 and SD-09.3 (the factor model), and by reporting (SD-13.10); the probability-of-meeting-goal forward-looking measure, consumed by SD-01.13 (re-allocation across and within goals) and by SD-15.14 / SD-15.15 (client reporting and the planning review).

Entities

Consumes: E-04 Holding / Position (book = abor for realised-return diagnostics, book = ibor for live-positioning diagnostics — analytics cuts across both), E-07 Valuation (any method), E-08 Price & Market Data, E-10 Benchmark / Index, E-09 Asset Class, E-11 Classification Type & Value, E-12 Classification History; the SD-07.8 climate-risk analytics; the return, attribution and appraisal outputs of SD-09.1 / SD-09.2 / SD-09.3; the SD-13.9 ESG data; E-30 Goal (the goal the probability is computed for, framed by SD-01.14) and the SD-01.13 goal hierarchy and per-goal target allocation.
Owns: E-31 Goal Progress Measurement — the stored, append-only, point-in-time probability of meeting a goal, with the capital-market-assumption set and methodology version behind it (a computed-metric-as-entity). Its other analytics outputs remain transient analytical artefacts, not master entities.

Standards

No single external standard governs general investment analytics; where an analytic is presented as performance it conforms to GIPS via SD-09.6.
The goals-based-investing body of knowledge grounds the probability-of-meeting-goal forward-looking measure — Jean L. P. Brunel, Goals-Based Wealth Management: An Integrated and Practical Approach to Changing the Structure of Wealth Advisory Practices (Wiley, 2015), and Ashvin B. Chhabra, The Aspirational Investor (HarperBusiness, 2015) and the underlying “Beyond Markowitz” framing of the personal-risk / market-risk / aspirational-risk goals tri-bucket. These ground the per-goal probability measure SD-09.5 computes; the methodology version is held on E-22 Metric Definition.

Open extensions

The factor-model artefact — whether the factor set and exposures warrant a managed reference structure rather than being a transient analytic.
The boundary with BD-07 Investment Risk made fully explicit (deliberate-change what-if here; adverse-scenario stress in SD-07.6).