Understand all elements of risk in your portfolio

Only FactSet gives you a Total Risk solution:

• Stress Testing to perform both historical stress tests and hypothetical factor shocks
• The FactSet Total Risk multi-asset class factor model  
• Monte Carlo VaR simulation to create 5,000 scenarios for fat tail modeling 
• An extensive asset pricing algorithm
• A flexible reporting platform to calculate portfolio risk statistics and asset contributions

Risk Decomposition and Risk-Based Attribution

Decompose portfolio risk at a particular point in time or investigate changes over time using your own models or those from APT, Barra, Northfield, Axioma, or R-Squared. Only FactSet offers models from five risk model providers.

Stress Testing

Reveal how well a portfolio is positioned in the event your forecasts prove true and gain insight into its vulnerabilities with stress testing.

Monte Carlo VaR Analysis

Address the challenges of analyzing portfolios with equity options and accounting for fat tails in your short-term portfolio return distributions through Monte Carlo VaR.

Portfolio Optimization

Analyze an initial or model portfolio to suggest potential trades that maximize portfolio utility in a risk/return construct using portfolio optimization tools from Northfield, Barra, Axioma, or APT.

Portfolio Simulation

Test optimization strategies through time using your chosen risk model, optimizer, and predicted alpha in FactSet's portfolio simulation utility.

Data Integration

Combine more than 800 FactSet and third-party databases with 20,000 benchmarks and automated uploads of your proprietary data.