These three report packs form the core of Harlyn’s reporting process to Charles Stanley and are not on general release. The packs in question are:

  • the Asset Allocation Report which gives details of the current portfolio weights and recent performance of the four multi-asset portfolios (Growth, Balanced, Income and Conservative) and the Pure Equity portfolio;
  • the Diagnostics Report which shows the probability curve and the average PRATER for a wide selection of asset classes, including equity regions in local currency against their own benchmark government bond, equity regions in sterling against global equities, bond categories against global bonds, UK alternative assets against UK gilts;
  • the UK sector model including Small Caps.

All data in these reports is derived from Harlyn’s own models, which take their data from Bloomberg as at the close of business every Friday. All models are re-balanced every week. For reporting purposes, the month end is taken as the Friday closest to the last day of the calendar month which means that we may not close our books until after the actual month end. Unless otherwise stated, all data referring to performance, volatility and drawdowns are calculated monthly. All performance data for longer than one year is presented on an annualized basis.

All of Charles Stanley’s portfolios use constraints on the minimum and maximum holdings applicable to individual equity regions and bond categories. This means that the performance and risk characteristics of each portfolio will vary significantly from those of an unconstrained model. These constraints are set and reviewed by Charles Stanley and will change from time to time. For each portfolio we show the minimum and maximum compared with the current weight for the relevant asset class.

The Diagnostics Pack and the UK sector report present data relating to the PRATER of individual asset classes. We show two charts for each asset class and/or sector. The one on the left-hand side shows how the PRATER has changed on a weekly basis over the last two years. This calculation is based on the average of 20 sample periods, each ending as at the previous Friday, but whose start date varies from minus 52 to minus 14 weeks. We do this to reduce the impacts of base effects, the sensitivity of the output to different dividend payment dates.

The chart on the right-hand side is the “probability curve” which we regard as one of the most important innovations to come out of our process. Underlying each curve are the 20 data points that go to make up the average for the last data point on the left-hand chart (and the same data 4 weeks ago). If the curve is convex and slopes from bottom left to top right it suggests that our probability of superior risk-adjusted returns has improved in recent weeks. If the chart is concave and sloped from top left to bottom right. It suggests that the probability of a superior-risk-adjusted return has deteriorated.

In order to make our sector report more compatible with the traditional approach to sector strategy, we express all recommendations as over/underweights relative to benchmark. This turns a 50% PRATER turns into a neutral weight (0% over/underweight). This has the benefit of making the recommendations adaptable to any benchmark. For asset classes in the Diagnostics Report we report the raw probability ranging from 0% to 100%. The impact of the portfolio constraints means that there is no transparent link between the PRATER and the asset weight.

Useful tips:

You can use the arrows in the top band to scroll through the report pack, or in most browsers (not iPad, though), the scroll bar on the right of the window.

Click on the arrow icon if you want open the report in a printable or downloadable format.

If you want to look at more than one report at a time, click on the arrow on top right corner of the pdf screen. This will open a new window in google document reader. The google docs reader also has thumbnail slides on the left had side of the screen, which helps with navigation. You can open as many google documents as you need – very useful for comparing sector reports from different regions.