Monitor and analyze portfolio risk with forecast horizons spanning short-, medium-, to long-term and easily decompose risk at a specific date or investigate changes over time. By leveraging the full generated distribution, you can select the risk measures most relevant to your business including Volatility, Tracking Error, Value at Risk (VaR), or Expected Tail Loss. Compare results among portfolios, identify outliers, and find where risk is concentrated across funds.
Measure volatility and tracking error, capture risk at the tail ends of distribution, and analyze market risk, liquidity risk, and credit risk with the model that fits your investment style. Choose the model that matches your investment process with unified, integrated risk models from FactSet/Cognity, third-party providers, or your own custom models.
Use a Monte Carlo or historical simulation approach with non-linear repricing to analyze multi-asset class portfolios. Focus on benchmark relative and identify risk hot spots with models with a linear approach. Choose normal or fat-tail distribution assumptions to accurately capture factor, asset, and portfolio dynamics.
Use factor-stress testing and extreme-event stress testing to identify vulnerabilities in your portfolios and assess them under a broad array of market environments and historical scenarios. FactSet’s robust market data gives you everything you need to create custom shock and stress tests with full control over factor, direction, magnitude, and correlation assumptions. Gain insight on true issuer exposure by aggregating risk across the entity structure from individual issues, to derivatives, to the issuers themselves.
Use our integrated optimizer tools to set portfolio constraints and generate the trades necessary to construct a multi-asset class portfolio with an optimal risk-return tradeoff. Incorporate your strategy with limits on sector weights, asset weights, turnover, and other metrics so your optimal portfolio is sure to comply with fund mandates. Once you have the portfolio, share it with other FactSet applications for further analysis, send the results to your trade desk, or export the results to communicate with other teams.
Measure and share portfolio analytics with confidence. Go from holdings-based analysis to top-down style, performance, and ex-post risk analysis to peer group reports without leaving the system. Combine your proprietary holdings with data from FactSet and other sources including extensive benchmark data and global exchange indices. Ensure your front office is looking at the same approved numbers as your risk and performance teams. Integrate your holdings and transactions with a nightly upload or by connecting your custodian, prime broker, or firm’s accounting system with FactSet. Our team of data specialists works around the clock to ensure secure, accurate, and consistent overnight processing of your firm’s portfolio data across all asset classes.
The best way to understand what makes FactSet different is to see it for yourself. We've worked with investment professionals for 40 years, so we understand your workflow and know precisely how to help. Talk to us about your challenges, and we’ll help you design the most effective solutions for your firm with everything you need — and not what you don’t.
