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Mguchi Scenario Analyser
Mguchi Scenario Analyser builds on the functionality of Mguchi Fund Administrator by allowing you to play your fund forward over a given time frame to see how it performs over a set of different scenarios. Your funds’ performance can then be compared to the performance of a reference fund, such as an index, under the same scenario conditions.
Starting from a point in time Mguchi Scenario Analyser will roll your fund forward on exactly the same basis as it would account for your fund historically – it uses your input, and processing engines, to calculate those variables needed to accurately account for your fund going forward.
Hypothetical trades can also be introduced to see their effect on the funds return.
Example scenarios could be along the following lines:
Scenario 1 Scenario 2
What will my fund return, compared to the ALBI, in a years’ time, given that:
  • The yield curve shifts up uniformly over the year in a parallel manner eventually being 200 basis points higher at the end of the year.
  • CPI increases uniformly from its current level to be 7% higher at the end of the year.
  • All cash flows are reinvested in the funds bond positions in ratios as they currently are at the time of the cash flow (as is done in calculating the ALBI index).
 What will my fund return, compared to the ALBI, in a years’ time, given that:
  • Spreads on Eskom debt increase uniformly over the year to be 100% higher at the end of the year.
  • The yield curve tilts uniformly over the year so that the long end is 50 points higher at the end of the year and the short end is 20 points lower at the end of the year.
  • All cash flows are reinvested in RSA bonds only, in ratios as they currently are at the time of the cash flow.
Mguchi Scenario Analyser produces a full balance sheet and income statement for every day over the given time frame so that you can accurately inspect all journal entries that make up the ledger and thus the NAV of the fund.
Who would find Mguchi Scenario Analyser useful?
Fund Managers Risk Managers and Trustees
To help position their funds optimally according to their view of the market. To confirm that their funds are complying to their limits, and will continue to comply under stress scenarios.
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