As an allocator, you know how difficult it is to evaluate risk in your portfolio, especially when it includes alternative investments. Hunting down all the current holdings and historical data from multiple sources to complete a position-based analysis is time-consuming, if not impossible, and imminent business-impacting decisions can’t wait. Comprehensive risk analysis tools can also be cumbersome and expensive with some not taking into account non-normal markets.
PerTrac RiskPlus, in partnership with FinAnalytica, is an award-winning and innovative returns-based portfolio risk management solution designed solely for allocators who need to analyze risk in even the most opaque asset classes. As an add-on module to PerTrac Analytics, RiskPlus allows allocators to customize their risk analysis using tailor-made factor models, risk budgeting and user-defined stress tests to create a comprehensive, easy-to-interpret report that breaks down your portfolio's risk and return components. With RiskPlus, investors receive an affordable and user-friendly way to conduct in-depth risk assessment of their portfolios in normal and non-normal markets.
RiskPlus was created in partnership with FinAnalytica, the leading provider of real-world risk and portfolio construction solutions. Built with models backed by years of academic research, RiskPlus was also a HedgeWeek award winner for “Best Risk Management Software” in 2011 and 2012.
Historically, position-based analysis has been considered the only way to examine portfolio risk. But it’s often difficult, if not impossible, to get an updated list of holdings from each fund manager on a timely basis. RiskPlus employs returns-based analysis using your existing fund allocations and monthly return streams, saving you time and effort while still employing a systematic risk analysis process.
Normal and Non-Normal Methodology
As opposed to traditional risk frameworks, which use normal return distributions, fat-tailed risk frameworks exhibit non-normal distributions with large degrees of skew and excess kurtosis which are hidden from normal distributions. RiskPlus assesses which model is best-suited for your portfolio and applies the correct distribution to achieve the most accurate risk calculation.
Pre-Defined and Custom Factor Models, Stress Tests and Scenario Tests
Choose from 11 real-world factor models to assess your portfolio under past market conditions. RiskPlus also gives users the flexibility to customize their risk analysis using custom factor models and user-defined stress or shock tests so you can understand how your portfolio can be expected to perform if certain crisis scenarios were to recur in the future or under specific market circumstances.
“Risk budgeting” compares the implied returns that funds should be earning based on their tail-risk profile vs. their actual returns. As a result, risk budgeting shows which funds contribute most to portfolio risk and which are the best risk diversifiers. This allows you to see which funds are underperforming relative to the tail risk they are contributing to the portfolio and which funds may deserve increased allocations.
Classical monthly correlation values between funds or factors are compared to robust correlation values that eliminate extreme event outliers, which helps you understand their impact on the relationship between the funds or factors.
RiskPlus creates comprehensive, yet easy-to-interpret reports which break down your portfolio’s risk and return components using statistics based on fat-tailed distributions, dynamic correlations and multi-factor models. And in contrast to other more complicated tools, reports are processed quickly without long update times for scenario modifications — often in five minutes or less.