The asset owner invests in multi-asset strategies, including a significant allocation to private equity. The investment team needed a robust and proven solution to calculate ex-ante market risk for their private equity portfolio. With private equity growing in importance as an asset class over the last decade, the team struggled to improve transparency within its private equity program. For example, it was difficult for both the investment and risk management teams to understand and monitor their underlying country and sector exposures and correspondingly, the exposures of their overall multi-asset class portfolio. Historically, the fund had relied upon disparate legacy products to store and calculate risk values across asset classes, which created material operational risks including inaccurate, time-consuming data aggregation and delayed reporting.
After evaluating several providers, the fund decided that the FactSet and Burgiss turnkey integrated solution was best suited to meet its front and middle office portfolio analytics requirements.
From an enterprise performance and risk perspective, FactSet offered the fund the flexibility to create its own public company “baskets” when modeling their private equity investments while keeping the unique characteristics of private company risk.
Based on this unique and fully automated process, the risk team could perform holdings-based risk analysis on its private equity funds and blend them seamlessly within its multi-asset class portfolio.
Burgiss Transparency Data offers data and insights for nearly 15,000 private capital funds, enabling institutional investors such
as the asset owner to accurately measure and evaluate risk, portfolio composition, and manager performance in their private capital portfolios. The initial coverage check showed that a significant proportion of the fund’s investments were already tracked by Burgiss, which allowed for the quick completion and sign-off on the onboarding process.
With the combined FactSet and Burgiss solution, the fund now has a single, consistent view of risk across their public equity, fixed income, and private equity portfolios. This permits the team to analyze its private equity investments on an equal footing with traditional asset classes, understand its portfolio’s actual exposures to sectors (GICS/ICB) and regions, and decompose the overall risk into the relevant risk drivers.
In addition to exposures, the team uses the historical timeweighted rate of return calculated by Burgiss on a quarterly basis, going back to inception, for attributing private equity funds returns and ex-post risk analysis.
The fund now enjoys an integrated, enterprise-wide solution for performance and risk analysis, allowing it to reduce operational risks associated with manual data entry and aggregation. It has also improved the fund’s ability to automate reports and gain timely insights on exposures and risk drivers.
- Avoid manual workaround to upload portfolios and maintain portfolio composites
- Full look-through into portfolio positions, including fund transparency into private-equity companies
- Ability to evaluate (e.g., trial) transparency data in short timeframe as data for LPs already collected by Burgiss
- Risk proxy methodology using a unique FactSet dataset, flexibility to create their own public company “baskets” as proxies for private companies that allow for holdings-based risk analysis
- Integrated multi-asset class solution for performance and risk
- Pivot from portfolio analysis to private company analysis in FactSet
- Unique automated process around the risk proxy creation process
- Turnkey solution with Burgiss; no fee required to integrate portfolios
- FactSet’s unique front and middle office portfolio analytics capabilities