PerTrac, which has a built in partnership with FinAnalytica, has released PerTrac RiskPlus1.2., an advanced risk analysis module designed to help institutional investors and portfolio managers decompose hidden risks through the use of multivariate factor analysis, stress testing and risk budgeting.
A key problem for institutional investors has been that illiquid assets such as private equity, real estate and other alternative investments are hard to value on a monthly basis. PerTrac RiskPlus 1.2 provides infilling techniques to convert quarterly illiquid asset performance into monthly performance streams. The infill process creates a level playing field whereby illiquid assets can now be included in a portfolio risk assessment, alongside funds which already have monthly performance data streams. Only through this combination of liquid and illiquid assets can an investor truly create a holistic picture of the risk they bear.
This release of PerTrac RiskPlus provides Haverford a new lens with which to understand portfolio risks not detected with traditional risk measures, says Michael Casel, director of investments at Haverford College. This new infilling capability will enable us to better assess the illiquid asset risk coming from our private equity and real estate investments and its impact on our total portfolio.
PerTrac RiskPlus 1.2 also allows investors to thoroughly break down and understand the risks and exposures of funds with a specific geographic focus. Using five new geographically-focused factor models, which have been defined and tested by FinAnalyticas quantitative research team, investors can, for example, assess Asia-focused funds using an Asia-specific factor model rather than analyzing risk with the same factor model used to analyze non-geographically focused funds.
Whether you are an investor or a manager, you are concerned with limiting losses when the worst-case scenarios arise, says Brendan Dolan, co-president of PerTrac. Decisions based on traditional risk measures and the assumption of normal return distribution characteristics for assets have led to potentially large portfolio losses by underestimating hidden risks. This new release of PerTrac RiskPlus gives investment professionals the tools they need to analyze their comprehensive risk.
Dave Merrill, CEO of FinAnalytica, adds: The partnership with PerTrac has allowed us to introduce our patented fat-tailed modeling technology to PerTracs investor base. PerTrac RiskPlus 1.2 broadens customers ability to manage their global portfolio, including illiquid assets, helping to improve returns.
(CM)