Risk Analysis | Fund / Portfolio Management System

Risk Analysis


The series and weighting of liquidity values are configurable at a client level. For instance a series of last 60 day average volume and a weighting of 20% could be applied.
Once set, the liquidity periods to group by are fully configurable.

For instance Less than 1 day , Less than 5 days , more than 10 days  are all examples of how to group possible positions, Its your choice.

Liquidity AnalysisMarket Capitalization

The settings on how you classify capitalizations are fully configurable. You can have as many groupings and thresholds as you like. For instance

Market CapitalizationExposure

Exposure at a Gross and Net level in absolute value terms or % of fund is reported. As are the equivalent Beta / Delta adjusted values.
As this is reported at a position level, the group by feature then allows you to see the exposure totals at whatever group you select.  You are even able to define your own grouping properties.
The following Group by Properties are provided:
o    Book
o    ISO (Country)
o    Classification (user defined)
o    Fund Name (for Fund of Fund Grouping)
o    Liquidity
o    Local Currency
o    Market Cap
o    Position Class  (L/S)
o    Product Identifier
o    Product Type (i.e EQ, CFD, FI…)
o    Rating  (for bonds)
o    Sector
o    Strategy
o    Underlyer (Reports Options/Futures at company level)

Beta / Delta Series

The exposure values can use the Beta / Delta series
For real time exposure reporting using Bloomberg (or other) market data it is possible to configure the series you wish to use.  If you wish to provide your own Beta’s for all or some of your positions you can easily override this in the system.

Post Trade Compliance

To ensure compliance rules are not breached or other performance rules (Stop / Loss indicators) the Post Trade Compliance service is continually running against the real time portfolio. This is fully configurable on the rules you wish to monitor, the thresholds and how you are alerted.  For more detail see the Compliance Product Sheet.

Please view our short video on position reporting and portfolio summary or view our Portfolio Management System page for further information.

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