UBIRIS - A System to Support Investment Research and Publications at UBS Dr. Beat Moser, CFA, Union Bank o/Switzerland Gerold R. Baudinot, Union Bank 0/ Switzerland

l.Abstract UBIRIS (Union Bank Investment Research Infonnation System) is a central infonnation system to support the investment and economic research in Switzerland's largest bank. Its core part (UBIRIS Kernel) supplies analysts with both financial market and economic time. series data and tools for data analysis and the production of high quality research publications. These products are then fed into an infonnation delivery system which supports portfolio managers and investment advisers all over Switzerland (UBIRIS VISion).

This paper describes the basic functionality of the research part of UBIRIS Kernel (URI: UBIRIS Research Interface) which has been realized using the frame technology of the SASiIl System and special features of Release 6.10 for WindOWSill. The application currently consists of four modules:

Database Access: selection, processing and download of financial and economic time series.

Graphics: quick display of financial and economic time series, procedures for technical analysis of stock prices, production of customized graphs and "chart books".

Analytics: integration of SASIINSIGHT ill and SAS! ASSIST ill procedures into the URI main menu.

TIme Series Management: interface to spreadsheet applications (Exce~),

mathematical transfonnation of time series, changing the frequency of time series.

A special feature of research publication support called "Database Publishing" will be presented. This application covers a field which becomes ever more important in the investment business: the rapid production of compound documents (graphics, tables, text) containing company and market infonnation for the support of investment counseling. Speed is the essence in this process. The Client/Server facilities of the SASiIl System

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are used to comply with these requirements. The example application "Portfolio Monitor" shows a close interaction between MS Word for Windows as the main "document production tool" of research analysts and SASiIl programs controlling the data selection, analysis and presentation processes for the graph, table and text modules as well as the transfonnation into a Winword compatible object.

The paper further points to future directions in the UBIRIS project like the introduction of the data warehouse concept in order to enhance the efficiency of investment research processes at UBS.

2.InvestmentResearch at UBS The Investment Research department of. Union Bank of Switzerland, one of the world's leading banks, plays an important role in the support of asset management and investment counseling processes in 'f.tte private banking sector. The department foql.ises its activities both on financial research issue$. and on the management of portfolios andJ>prtfolio risks. Four main activity groups can be identified:

2.I.Market and Portfolio·Research

UBS Investment Research analyzes financial markets under a portfolio perspective. Main research areas are asset allocation issues and the quantitative and qualitative analysis of companies and financial instruments (fixed income securities, equity securities, derivative products). Both qualitative and quantitative research models are used.

2.2.Invesbnent Recommendations The results of research activities are recommendations as to how portfolios should be structured on strategic and tactical levels (the "optimal" allocation of investments to asset categories, markets, and currencies) and recommendations with regard to the selection of specific instruments. These recommendations are

updated on a regular basis and communicated to internal and external clients in the fonn of various publications (Investment Policy, UBS Investment Recommendations, etc.).

2.3.Management of Portfolio Invest Funds Besides their research activities, analysts are also responsible for the management of UBS Portfolio Invest funds ("Anlagestrategiefonds"). Managed in accordance with modem approaches aimed at return enhancements and risk diversification, these mutual funds are important products offered to private clients of the bank.

2.4.Support of Investment Counseling and Management

The Investment Research department supports portfolio managers and investment advisers in the region Switzerland with research. information, research products and instruments relevant to the daily tasks of investment counseling.

3.A Decision Support System for Investment Research and Investment Counseling and Management . . UBS has launched a project calledlJBIRIS (UBS Investment Research Information System) in order to support both research analysts, portfolio managers and investment advisers with a modem infonnation and decision support system. The core of this system will be developed with the SASe Software System.

3.I.General Overview

The system has two main parts:

• The core part (UBIRIS Kernel, UBIRIS Research Services) supports

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financial analysts in their daily analysis and reporting work with data, methods and applications.

• The infonnation delivery part (UBIRIS Jl"uion) supports investment advisers with information and research products coming out of the UBIRIS core.

The central Research Time Series Database is fed by several external and internal sources. The data are stored in the operational database and

processed into a SAS® Research Infobase. Several

SAS® applications support the analysts in the areas of accessing raw time series and "added value" data (e.g. ratios), statistical and graphical data analysis, and the production of research reports and publications. Research infonnation and research products are then released to other UBIRIS subsystems. Specific infonnation delivery applications support the investment pounseling and management ptocess. Investment advisors can thus do a better job as they are provided with the most up-UHlate research infonnation about specific instruments, markets, and portfolios which can be combined easily with customer-related information and portfolio management systems.

3.2.Business Objectives and Requirements

3.2.1.Researcb Support

UBIRIS has to support different aspects of the investment research activities in a bank operating on a global level. It has to cover a variety of functions from the simple delivery of time series data to more complex tasks like providing tools for the optimization of portfolio structures or for the specification and estimation of financial and econometric models.

The main business objectives with regard to research support are:

• provide analysts with a time series database which satisfies about 80% of data needs for both qualitative and quantitative financial and economic research. The data base should cover all important financial instruments, markets, companies, and economies worldwide;

• provide analysts with an extensive methods baseandanalvsis tool box ranging from

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algorithms for the calculation of simple ratios to data screening functions and tools for statistical and graphical data analysis, forecasting, simulations, and optimizations;

• provide as much flexibility as possible with regard to the enhancement of the basic system and research fUnctionality. It should be possible

- to add new research functions to the existing DSS at short notice;

- to interface the UBIRIS system with "external". research tools and applications (e.g. C programs for quantitative derivatives research, software tools for portfolio optimization and risk analysis).

3.2.2.Research Publication Support

UBIRIS helps to rationalize· the publication process. There are three different types of research pUblications:

1. Short ("two pages") notes to actual developments. on financial markets and within companies. These documents are produced· at very short notice ("overnight") and are a combination of graphics, tables, and text components, actualized and downloaded directly from the UBIRIS database. In order to come up with the high performance and timeliness standards, UBIRIS has to provide powerful "Database Publishing" functions. Two products are planned within the Investment Research department: The "Portfolio Monitor" informs about actual developments within companies which are held in UBS Model Portfolios; the "Market Monitor" describes political and economic trends within the major financial markets of the world.

2. Research studies written by investment analysts on different investment topics ("Basic Research Reports"). The UBIRIS system has to support "Research Publishing" by providing a wide range of anaIytics and options to embed the results of quantitative analyses (graphics,

tables) into Word for Windows® documents.

3. Periodicals which are sent to both portfolio managers and investment advisers within the bank and to outside customers, which cover a broad range of investment themes and give

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basic portfolio management recommendations (e.g. "OBS Investment Recommendations", "UBS Investment Policy", "UBS International Finance"). These publications have to fulfill high production standards and are distributed in a large number of copies. UBIRIS has to support this kind of "Desktop Publishing" products by a close interplay between database processing and layout functions within a highly professional desktop publishing environment.

3.2.3.Investment Counseling Support

UBIRIS has to support the investment counseling and management process in two ways:

• Easy and comprehensive access to research information and research products Research, market and portfolio information relevant to the advisory business have to be delivered in an efficient and easy-to-use way in order to give an optimal support to advisers in their investment recom­mendations to customers. This is realized by an information delivery application where different objects like graphics, tables and research notes are linked dynamically. The investment adviser will thus be in a position to screen the universe of investment opportunities according to specific criteria and to answer questions of customers by quickly displaying the requested information in graphical form and by retrieving the opinion of the research department about specific financial instruments, a company, a certain portfolio structure or the perspectives of a new market simultaneously.

• Direct link between research information system and portfolio management system (PMS) A direct link between portfolio and research information is an important aspect in modem portfolio management. UBIRIS has to provide functions that allow account and portfolio managers to branch from any account position in a client's portfolio directly to the corresponding products (graphics, tables, reports, documents) in the research information system. An example may illustrate this functionality: An account manager is analyzing the asset allocation of a customer's portfolio. He sees that it is overweighted in Swiss banking stocks and in German bonds. By clicking the UBIRIS

button on his PMS screen he. gets directly into a screen with the latest research news on Swiss banks and the German bond market, graphs showing the development of the Swiss banking index in the last five years and the tenn structure of German interest rates as well as a table with the Gemian bond ratings.

3.3.System requirements The system requirement$ are the cornerstones of a building that houses an enonnous wealth of individual tasks a researcher has to perfonn in order to be able to do his job. Many of these tasks can be standardized but there are more and more requests for more analysis and improved presentation of the analysis results. Speed is the key factor for the system requirements:

• Rapid data- and information delivery

• User-friendly & fast navigation .

• Rapid implementation of new functionality

• Integration of the single components of a research process

4.UBffiIS Technical Solution UBIRIS is a typical decision sUPROrt system. It provides an investment analyst .~th information needed to support decisions :J'or investment strategies. The ingredients of a s~sful decision support system are a rock solid ~ platfonn with the necessary services to:

• fill in data,

• maintain the quality of the data,

• distribute the data and

• an application Platfonn for analyses and presentation of results.

Currently UBIRIS is in a transition phase from a system based on an architecture that was deVeloped in the mid 80's into a new architecture based on a Data warehouse concept geared towards financial instrument analysis.

The old solution is hosted on a IBM Mainframe which is used for all kind of processing. The data is stored in DB2 with a data model' that serves the data entry as well as the data retrieval requirements. The UBIRIS Research Interfiwe is hosted on a Windows 3.~ client and is entirely

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written in SAS., 6.10. The data retrieval part is object oriented and in te.nns of client/server almost entirely distributed processing oriented.

The new solution (called UBIRIS Kernel) currently under development is hosted on dedicated UNIX hosts for each the OLTP and the DS System. The new part of the system is the move to dedicated platforms and the disparate data model for DSS and OL TP. Other concepts like meta data, automated data feeds, scheduled data distribution to client DSS's have been incrementally introduced into the old system and thus went through a redesign rather than a new design.

4.1.UBIRIS data warehouse The UBIRIS data warehouse consists of an OL TP side where data feed, data management and computation, distribution of data is perfonned and DSS side where the analysis and presentation is perfonned. The DBMS on the OL TP side IS

ORACLE., and on the DSS side SAS., is used.

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4.1.1.Data feed

4. I. I. I.Automated datafeeds

UBIRIS is fed daily from various sources such as Telekurs, IDC, DRI and MSCI. Currently these sources come in via tape and a variety of mailboxes. Some mailboxes use proprietary download programs, other systems can be accessed with standard programs such a Procom or Dynacom. For each of the different data sources we have a different fonnat. Some data is comma separated and the field attributes and content description can be found in the documentation, other data is. data in a self documentary format. Moreover the data fonnat of some . of the feeds frequently changes. The load process is divided into three steps

1. D6WnIoad froIn the external system into an internal system. It is important to keep this step sep~ from all other processing because of security reasons. All dial processing with the respective utilities is done at this stage. The system never maintains a connection to the inside· world while being connected to the outside world and vice versa.

2. Convert the data from a source format to the universal UBIRIS Data Interchange Format.

3. A general purpose loader program loads the data that is now in the UBIRIS Kernel data interchange format into the database. Only this step requires knowledge about the UBIRIS Kernel data model and makes thus datafeed steps 1 and 2 independent of changes in the data model.

Steps 2 and 3 include data quality checks. such as an analysis of the contents of the downloaded file with information stored about the respective data in the UBIRIS Kernel meta base .

All the data management from the source format to the database loader format is done by means of SASe.

4. 1. 1. 2.ManuoJ data entry

Manual data entry is still necessary where data is found to be incorrect such as a price or more often adjustment factors for shares. In addition to that all meta data information is added manually.

4.1.2.Data model of the warehouse

4. 1.2. 1. Data modelfor financioJ instruments

We use a data model called FIDMe. that was jointly developed by UBS and other Swiss banks, together with Ecofin a consulting company. This data model allows us to add all known financial instruments into our system. We had to make extensions though for research specific requirements such as values over time(time series), ratios, procedures and methods and a meta data model for related specifics of our system.

4.1.2. 1. 1.Normalized side

The FIDMe data model is highly normalized. This gives us a high degree of non redundancy for the data. This is for data maintenance an ideal situation. However, it means that for analysis purposes we have to join between 6- 20 tables. Creating typical sets of data for analysis purposes

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becomes an impossible task. Especially when the target System requires pre computed values over time such as adjusted prices, Beta values, Sharpe ratios etc.

4.1.2.1.2.De normalized side

The data model of the UBIRIS kernel system provides on the delivery/distribution side a de normalized view of almost the entire database. ORACLEe provides us with a technique called triggers which propagates changes made on the normalized side instantaneously to the de normalized side of the model. This in tum means that we never do any changes on the de normalized side of the data model.

4. 1. 2. 2. FinancioJ ratios model

Key to the success of such a system is not only the quality of the so· to say atomic data but also the quality of derived data such as ratios, models etc. A Financial ratios data model is included in the system to make sure that ratios and model data do not suffer from synchronization and disparate implementation problems. The financial ratio is never stored permanently in UBIRIS, but computed on the fly. The implementation of the data warehouse is such that computations can be made on the Kernel system as well as on the distributed target systems given that the target systems have a duplicate of the Kernels data model including the Financial ratios model. The ratios, procedures ana·lIlodels are implemented in SASe and the respective SASe products.

4.1.2.J.Meta data model

The meta data model is used to store metadata about the data that can be found in the Kernel system, such as periodicity of time series, verbose description of time series, origin of data, data model conversion information etc.

This data is used for processing data properly and consistently. such as conversion of data feed data into UBIRIS Kernel data, time series. merge operations etc. and for infonnation and documentation purposes.

4.1.3.Distribution of data

Distribution of data means not only that data is distributed to target systems but also equally important are factors such as synchronization of the data and the derived in/ormation such as

ratios. UBIRIS· kernel bas a scheme implemented that allows to synchronize data periodically to a given time t.ync and to keep a; recipient system informed about data changes that happen between the synchronization timeS t.ync and tsync+l.

4. 1.J. 1. Flow of events

4. 1.3. 1. 1.Data Order

To.get any data from the system there bas to be an order .. Order processing and order storage is the first step to keep data synchronized over distributed systems. An order consist of 4 elements

1. Data segment:A content description that allows to select atomic and derived data including the timerange the selection was made for.

2. The frequency of delivery e.g. daily, weekly etc.

3. The delivery format. We offer ORACLEe tables, SAStl datasets or our own data interchange format.

4. Notification of change information. We offer a service called ''Notification of change". this service allows us to keep a target database informed about data changes that happen between the times t.ync and tsync+l.

4.1.3.1.2.Data delivery

The data ordered is selectedlfixn the de normalized side of the data ModeI.J;berived data such· as ratios, procedures and : models are computed on the fly with ~.. processes implemented in the Financial ratios model. The results are stored in a set of delivery tables for each order. The format of the tables is either SAS., datasets, ORACLEe tables or UBIRIS Kernel data interchange format.

The clients then retrieve the so compiled data. SAS@ based target systems retrieve the data via means of SAS/CONNECT.,. Non SAS., systems retrieve the data via their respective means or via FTP:·

4.1.3.1.3.NotiflCalion of change

Data changes that happen after a· data delivery are automatically notified via EMAIL. The target system may then request. an immediate update of this data via a special process called unscheduled data delivery. This process allows both sides the

. source and the target, to know about the current state of the data. This allows us to document the synchronization entirely up to the result.

4.1.4.Data management

UBIRIS is the second system that implements the FIDM., data model at UBS. We are therefore in the position·to not only copy a data model but also an entire range of data maintenance applications. These applications are entirely written in C++. As of now data quality checks are made on data,entry. We also have a series 'of check programs which allow us to check entire time series for data holes. These check programs are written in SAS., and make use of the LAG functions implemented in the SAS., system

4.2.Applications platform

Several SAS., applications support the analysts in the areas of accessing raw time series and "added value" data (e.g. ratios), statistical and graphical data analysis, and the production of research reports and publications. Research information and research products are then released to other UBIRISsubsystems

4.2.1.UBIRIS Research Interface

The UBIRIS research interfi1ce is a menu oriented application that provides analysts with· the basic functionality to select data from the UBIRIS universe, perform transformations and computations and· produce. graphical and non­graphical analysis on the previously processed data. The entire application is done in SAS/AF.,. We have build up a small library of standard AF classes. These classes are building blocks for screen prototyping.

In addition to that we have built a data selection layer to insulate the research interface from the underlying data model. This layer consists of a series of methods. These methods build selection jobs for time series. Since the UBIRISdatabase is remotely attaChed, all data selection depends heavily on the.· client/server capabilities of· SAS., with SAS/CONNECT.,.· Most of our client/server processing is true distributed computing.

As of the datil transformation URI doeS not provide a free form transfonnation faCility such as SAS/ASSIST in the data management ·sub menu, but a system that offerS a series of templates. These templates are SAS@ macros. These macros encapsulate formulas for compound change rate, moving average, rolling standard deviation etc. A SAS/AF@ application supports the user in

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choosing a transfonnation and based on the transfonnation template prompts forthe respective variables mld coIistant values.

URI offers a series of standard graph types. We did not put much emphasis on different graph types and optional customization. The major goal of URI is to provide graphs that look the same on all printers and have an UBIRIS identity for further usage in reports. URI produces the graphs with a

standard template macro using SAS!GRAPU® .

The graph then is replayed/shown in a SAS! Af® frame with an graph output widget. We have created a set of standard device' drivers for COLOR A4 Landscape graphics output to windows hardcopy devices using the WINPRTx drivers. In addition w~ have created GSF CGM format drivers that 8llow us to export graphs to Winword.

4.2.2.Database Publishing

4.2.2.1. "UBS investment recommendation" pUblication

The UBS investment recommendation is a highly structured publication with a lot of information placed into tables and lists. We are currently implementing a new production process for this publication. The production platform is an Apple Macintosh. The old solution based on Ragtime@ for PUblishing and a SAS program for data and information delivery has to be replaced. We decided to base the new process on a standard database publishing product (Interleave) and replace the delivery process based on SAS® programs and a tagged ASCn files with a publishing database that is attached to the standard delivery process of the new UBIRIS Kernel system. With this approach changes of the layout require template changes rather than ragtime program changes, changes of content of the publication such a new markets or any information than can be retrieved from the UBIRIS kernel system can be requested by a data order and will be filled in to the publishing database from where the values can be embedded into the publication with simple operations. In addition to that Interleave allows us to archive and distribute documents(CD-ROM, W3 etc.) very easily.

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--• 4.2.2.2. "Portfolio Monitor" publication

The purpose of the "Portfolio Monitor" is to provide Investment advisors with a brief information about the companies in the "UBS Investnient recommendation". The document contains several charts as well as several tables which are embedded into text. All the data that is required to produce the charts as well as the tables comes out of the UBIRIS data base. As a database

publishing tool we use Winword 2.0 ® and

Winbasic®. The reader of the document may actually invoke a process that actualizes the information out of the database.

Since the document is a highly structured product a

SAS® macro ~ be used to retrieve the data from the database aDCf produce the charts as CGM file

and tables as DBASE® files. SAS® and the

respective SAS® macro is invoked by a Winbasic

®program.

5. The UBIRIS Research Interface (URI) URI is the main tool supporting the research activities at UBS Investment Research. It is currently used by 80 research analysts. The application has been realized using the frame

technology of the SAS® SyStem and special

features of the SAS® Release 6.10 for Windows. There are four modules:

• Database A.ccess: selection, processing and downioad of financial and economic time se­ries.

• GraphiCS: quick display of financial and economic time series, procedures for technical analysis of stock prices,

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•

•

production of customized graphs and "chart books".

Analytics: integration of SASIINSIGHf®

and SASI ASSIS'f® procedures into the URI main menu.

Time Series Management: interface to

spreadsheet applications (Excel®), mathematical transformation of time series, changing the frequency of time series.

S.I.The Database Access Menu

Data selection is the first step iji the analysis process. URI offers several options to access financial market, economic and fundamental company time series data from the central UBIRIS database, either via extended selection lists or by using code entry panels. The selection screen is divided into three parts: the "key selections" part allows a stepwise selection of objects (e.g. country­industry sector-company-financial instrument); the "data selections" part controls the definition of variables (e.g. adjusted price series, statistics), the "current selection" window stores the selection criteria for further use. After the specification of the time period and the periodicity, the download

process is activated. Using SAS/ACCESS® software, the time series are extracted from DB2 tables and downloaded to the user's PC. Additional options allow the download of pre-computed values (e.g. calculation of continuously compounded returns, indexation, currency­adjustment of price series).

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After the download process, UBIRIS data are ready for further analysis. The data can be directly

processed with various SAS® procedures in the (nu time series management and analysis modules. As an alternative, a DDE interface allows a direct

data export to Excel@.

5.2. The Data Analysis and Graphics Menu

The data analysis module of the UBIRIS Research Interface contains several easy-to-use graphical and statistical tools:

• "Quick Graph" allows the production of different types of graphics which are standard tools in technical financial analysis. Examples ate simple line plots, multiple plots per axes, highllow/close charts, or relative strength graphs. Speed and user friendliness are essential in order to give the user a quick "first look" at data series downloaded from the UBIRIS database. The analyst, however, is not restricted to pre-defined graph types. The "edit"

functionality of SAS/GRAP~ software offers powerful tools to tailor graphics according to specific customer needs.

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• "Chart Book" contains sets of pre-defined standard graphs which are updated automatically from the UBIRIS Infobase on a daily basis. There are different chart groups like price/volume charts for instru­ments and financial markets or charts for selected foreign exchange rates, interest

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rates, or other economic series. These charts are stored in libraries and can be used for different presentation purposes.

The SASlINSIGErJ® product is integrated directly into the URI Data Analysis Menu. This tool allows exploratory and interactive statistical analyses of UBIRIS data, linking spreadsheet functions dynamically with a graphical data analysis window. The analyst can do a complete "analysis cycle" (database access/data exploration/data analysis) interactively without ever losing the connection to the UBIRIS database. Special emphasis has been given to an easy way to paste the results of statistical analyses (statistical graphics and tables) directly into Windows Office products (Word for

Windows®, Excel®)·

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5.3. The Data Management Menu

The URI application offers a wide range of time .series data management utilities. They cover file

input and output subjects (e.g, input of Excel®

files, output of SAS® datasets in XLS and/or ASCII format), deal with problems arising when working with time series data, and offer several functions to transfonn time series data. A variety

of SASIETS® time series data management procedures has been used to develop this URI module.

The user can

• transform time series:. 20 mathematical transformations are given by the system, grouped into "series transformations",

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•

•

•

"calculating change rates", "lagging series" and "functions". The user can expand this list by defining his own transformation calculus;

subset time series datasets for more detailed analysis and reporting by selecting specific time subperiods and using logical operators like "greater than", "less than", etc.;

update time series datasets: most recent data points can be added to a series. Thus, the analyst is not forced to download the history of values allover again;

change the frequency ora time series either by compressing (changing from high to low frequency, e.g. from daily to monthly) or by expanding (changing from low to high frequency, e.g. from quarterly to monthly).

6.Conclusion The UBIRIS project at Union Bank of Switzerland is a major decision support system for a heterogeneous population of users, ranging from investment and economic research analysts to investment advisers and portfolio managers.

The main business objective is to build a powerful "research production machine" with supporting tools for time series database accesses, data management, data analysis and the production of research publications. The core of this system is

realized with SAS® software tools (UBIRIS Research Services). The research information products are disseminated to clients within the bank through an information delivery system called UBIRIS Vision.

The technical solution is built around a data

warehouse concept with Oracle® as DBMS on the

OLTP side and SAS® on the DSS side.

A first application called URI (UBIRIS Research Interface) is productive in the Investment and Economic Research departrneats at UBS

headquarters. It has been realized:~ SAS® 6.10 for Windows.

Appendix

Trademarks

Brand and product names are registered trademarks or trademarks of their respective companies

Windows 3.x is a Trademark of Microsoft Corporation.

Procom Plus is a Trademark of Datastorm Technologies Inc.

Dynacom is a Trademark of Future· Soft Engineering, Inc.

Winword 2.0 is a Trademark of Microsoft Corporation.

Winbasic is a Trademark of Microsoft Corporation.

Excel is a Trademark of Microsoft Corporation.

FIDM is a Trademark ofEcofin Switzerland

Ragtime is a Trademark of Ragtime.

SAS and all mentioned SAS products are a Trademark of SASInstitute Cary, USA.

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