Comprehensive Quantitative and Risk Analysis
Test your theories about which quantitative and qualitative factors drive performance in different markets. Easily examine trends and produce reports that support your ideas.
Run simulated portfolio construction strategies prior to implementation.
Combine hundreds of FactSet and third-party databases with more than 20,000 benchmarks and automated uploads of your proprietary data. FactSet handles data management with quality assurance checks, historical identifier mappings, and corporate action handling.
Use a mean variance optimizer to create and rebalance your portfolios. Generate a list of necessary trades to construct an optimal portfolio by providing portfolio constraints and desired risk/return levels.
Risk Decomposition and Risk-Based Attribution
Analyze portfolio risk with one or more predictive risk models from APT, Axioma, Barra, Northfield, R-Squared, or your own custom models. View predictive risk characteristics, study exposures, and identify systematic sources of relative performance.
Reveal your portfolio’s true vulnerabilities by testing it under extreme market scenarios. Identify and hedge against unintended sources of exposure.
Monte Carlo VaR
Address the challenges of analyzing portfolios with equity options and accounting for fat tails in your short-term portfolio return distributions.