Portfolio Analysis
Real-world portfolio models drive trading success. Our analysis sets the standard.
The Challenge: Portfolio analysis requires tools that handle complexity, scale, give stable results and run over long-term.
Our Solution: We build portfolio models using joint simulation and the logic traders actually use to value and manage risk.
The Result: Better risk management, portfolio management, and trading decisions backed by realistic portfolio analysis.
Core Capabilities
Valuation
Real-world portfolio value using trading logic and joint simulation.
Frameworks: Historic, simulated, and benchmarked.
Breakdowns: Intrinsic and extrinsic by time, region, book, and deal.
Validation: Back-tested, benchmarked, and fully traceable.
Operational Profile
Physical activity analysis across flows, volumes, and dispatch.
Expected flows: Lifting, delivery, and dispatch volumes.
Breakdowns: By market, counterparty, and location.
Output: Scheduling and delivery planning support.
Risk Profile
Risk assessment, covering key metrics and what drives portfolio risk.
Risk metrics: covering VaR, EaR, drawdowns, and P-levels.
Distribution: Value uncertainty, tail risk, and bias analysis.
Attribution: Risk ladders showing deal-level impact.
Scenarios
Portfolio impact for strategy, market, and structural changes.
Market scenarios: Base, low, high cases, and shocks.
Portfolio changes: Add/remove assets and deal-clause changes.
Hedging analysis: Coverage ratios and physical vs financial mix.
Get Started
Ready to get the numbers right?
Request a free consultation to discuss your deal, portfolio, and price modelling requirements.
How it works:
- Tell us your needs – submit your requirements
- We’ll be in touch – response within 48 hours
Functionality List
1. Portfolio Value
Understand the full value of a portfolio under different methods, strategies, and assumptions.
Total, intrinsic, and extrinsic value across the book
Simulated and realised outcomes
Valuations under historic and future market conditions
Option pricing benchmarks (e.g. Black, Corrado–Su) for comparison
Breakdowns by time, component, unit, region, or sleeve
Hedged vs unhedged portfolio views
2. Value Decomposition
Attribute value across deals, sleeves, and structures — and assess their marginal contribution.
Value by deal, sleeve, region, or product
Combined effects and interaction across flex and optionality
Marginal vs standalone value comparison
Breakevens, triggers, and timing of value
Year-by-year breakdowns for planning and governance
3. Operational Profile
Support scheduling, flow management, and delivery planning at the portfolio level.
- Expected liftings, deliveries, and dispatch volumes
- Physical flow views by counterparty, location, and asset
- Regional exposure and delivery concentration
- Shipping windows, regas slots, and capacity availability
4. Risk & Sensitivity
Quantify portfolio-level uncertainty, risk exposure, and deal-level contribution.
- P-levels (P95, P50, P5), VaR, EaR, CVaR, drawdowns
- Distribution shape, tail risk, upside/downside asymmetry
- MTM vs realised outcomes and financial timing impact
- Sensitivities by index, price, period, or exposure group
- Risk ladders to compare strategies or hedging overlays
- Component and marginal VaR by deal or region
5. Scenario Analysis
Evaluate how changes in market, structure, or strategy impact portfolio value and risk.
- Base, low, and high price/volatility regimes
- Shock scenarios (e.g. war, outage, price collapse)
- Regime shifts (e.g. high-vol vs low-vol, spread dislocation)
- Structural changes: add/remove deals, change strategy mix
- A vs B comparison: value delta, risk shift, and attribution
- Hedging scenarios: financial, physical, contractual overlays
- Strategy mix: partial hedge levels (0%, 25%, 50%), %FOB vs %DES