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Quant and Risk Analytics

Quant and Risk Analytics

FactSet delivers a comprehensive solution for every stage of the risk and quantitative portfolio management process. Gain a full, transparent view of risk distribution at the portfolio, factor, and asset levels using a Monte Carlo or linear approach.

Leverage Risk Models That Match Your Investment Philosophy

Leverage a non-normal fitted factor distribution framework to capture risk in the tails of the distribution and better reflect real world events. You can also analyze portfolios with derivatives or assets with a Monte Carlo model for non-linear that reprices all assets in each simulation and offers drill-down and asset-level decomposition.

Measure and Decompose Predicted Risk

View predictive risk characteristics such as Tracking Error, Beta, and Value-at-Risk. Study exposures to gain insight into the sources of portfolio risk and examine the trends with robust time-series charting.

Analyze Risk-Based Performance Attribution

Identify systematic sources of relative performance. Analyze the specific exposures that helped or hurt performance to make more informed portfolio management decisions.

Construct Optimal Portfolios and Identify Vulnerabilities

Create scenarios to shock your portfolio under extreme market conditions, letting you identify and hedge against vulnerabilities. Analyze portfolio risk with stress testing to understand where vulnerabilities lie.

Analyze Multiple Portfolios Simultaneously

Compare results, identify outliers, and determine if there are any areas where risk is concentrated among funds.

Pinpoint Firm-Wide Exposures

Quantify your firm’s ownership in a security, an issuer, an industry, a country, or a specific set of securities to analyze exposure to long-term, macro trends or the fast-moving news and events of the day. 

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