There are two report packs which form the core of Harlyn’s reporting process to ING Private Bank . The packs in question are:

  • the Euro Asset Allocation Report which gives details of the current weights and recent performance of the multi-asset portfolio. This portfolio selects from a range of equity regions and bond categories, but has no exposure to alternatives such as rel estate or commodities. This report also shows the probability curve and the average PRATER for each asset class in a format which allows the reader to draw preliminary conclusions on the likely evolution of risk-adjusted performance.
  • the Pan European Sector Report which shows the recommended over/underweights of the 10 GICS Level 1 sectors relative to their benchmark weight and the recent performance of a portfolio based on these recommendations. This report also shows the probability curve and the average PRATER for each sector in a format which allows the reader to draw preliminary conclusions on the likely evolution of relative performance.
  • the Eurozone Sector Report and the EU, EZ, UK Report are included for comparison purposes and are extracted from our database in exactly the same way as the Pan-European report.

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.

The asset allocation report is based on an unconstrained portfolio which does not adapt its recommendations to the different risk profiles of individual clients and there may be occasions when Harlyn’s recommendations fall outside the parameters of these risk profiles. It is the responsibility of ING Private Bank personnel to establish the risk profile of their clients and to identify occasions when this conflicts with Harlyn’s recommendations. Harlyn can provide assistance on this matter, if required.

recommendation 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.

Both reports present charts relating to the PRATER of individual asset classes and sectors. 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, such as 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 the probability of superior risk-adjusted returns has improved in recent weeks. If the chart is concave and slopes from top left to bottom right. It suggests that the probability of a superior-risk-adjusted return has deteriorated.

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.