MULTI-ASSET CLASS RISK MANAGEMENT
Integrate equity, fixed income, commodity, returns-based, and currency factors to gain
a full, transparent view of risk distribution at the portfolio, factor, and asset levels.
Leverage a Monte Carlo Simulation Approach
Derive the absolute or benchmark-relative risk of your
portfolio using a Monte Carlo simulation-based risk
model. Simulate all the factor returns across thousands
of correlated market scenarios, then reprice each asset in
every simulated scenario to produce a returns distribution
of portfolio outputs from which any risk statistic can be
calculated. Accurately capture the risk of securities that
have optionality or non-normal return distributions.
Identify Portfolio Vulnerabilities
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 gives you the flexibility to overweight more
recent history, or analyze select time periods that are most
similar to when historical events occurred.
Monitor Risk on Any Horizon
Analyze multi-asset class risk with flexible forecast horizons that
range from one day to two months and can produce annualized
risk measures. To more accurately capture movements in portfolio
and market volatility, the model’s covariance matrix, factor
exposures, and factor volatilities are recalibrated on a daily basis.
Examine Risk Trends
Leverage a variety of risk statistics, such as tracking error, Value at
Risk, and expected tail loss, at the asset or portfolio level over time
to analyze how the risk in your portfolio is trending.
Gain a more precise picture of where your portfolio is headed and
accurately determine whether to take on or remove risk.
Consider a Full Range of Assets
Include asset classes that are most important to your
investment style, including equity, fixed income, commodity,
currency, returns-based assets, and their derivatives. FactSet’s
broad coverage universe includes:
• Approximately 40,000 global stocks and depository receipts
• Over three million global bonds
• Over 250 highly liquid commodity indices, continuous frontmonth futures contracts, commodity ETFs, and mutual funds
• Over 150 currencies
• Alternative investments including real assets, hedge funds,
and private equity
Integrate Risk Analytics at Every Stage
FactSet’s MAC model is fully integrated across FactSet’s
Portfolio Analytics suite, enabling you to view risk across your
investment process. Look at summary-level dashboards, receive
alerts based on selected criteria, customize and view asset- and
factor-level detail with dynamic charting, and view consolidated
analytics in a client-ready PDF presentation.
About FactSet: FactSet is a leading provider of financial information and analytic applications to investment professionals around the globe. To learn more about FactSet’s Multi-Asset Risk
Management, contact [email protected] or visit www.factset.com. Copyright © 2017 FactSet Research Systems Inc. All rights reserved. #13983/0915/FSM256