BISAM Insights Blog

Eurozone Macro Cap Equities – Prices and Volatilities on the eve of French Elections

Posted by Ivan Mitov, Head of Quantitative Research, BISAM on Apr 21, 2017 8:35:00 AM

The upcoming first round of the French presidential elections is on the radar of the global investment community. Although the new president of France will not be elected on the first round, its outcome seems critical for the future path of France and the EU.

A victory by far-right leader Marine Le Pen or far-left leader Jean-Luc Mélenchon is seen by many investors as potentially fatal for the Euro and even the EU itself. This is a political risk and the outcome of the election is quite difficult to predict by means of historical events or the standard tools for measuring and forecasting market risk (as mentioned in https://insight.factset.com/an-approach-to-government-policy-risk-management).

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Topics: Daily Risk Statistics, Risk Management

What Does the Front Office Need from H­eads of Performance?

Posted by Dean McIntyre, Director of Performance Strategy, FactSet on Apr 12, 2017 8:30:00 AM

There’s no getting away from it: the relationship between the performance measurement team and the front office can be combative at times. Fund managers have their own—indicative—performance and risk systems, and do not always enjoy being challenged with inconsistency.

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Topics: Market Trends, Performance & Attribution

Rise of the Robots

Posted by Sean Murray, Director of Product Strategy, BISAM on Apr 5, 2017 8:39:47 AM

BISAM was pleased to present at last week’s Portfolio Risk and Performance Measurement forum hosted by Financial Research Management. Our presentation focused on integrated performance and risk, and the role technology has played (and continues to play) in shaping the topic. We presented a number of options a firm should consider as they deploy performance and risk technology, and the pros and cons of each option.

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Topics: Data Management, Market Trends, Performance & Attribution, Risk Management

Buy Side Risk Europe – “Avoiding crowds and modeling endogenous risk” Discussion Summary

BISAM was very pleased to sponsor last week’s Buy Side Risk Europe 2017 conference in London, to share views and discuss the latest operational and technology trends with the European asset management community. Boryana Racheva-Iotova, BISAM’s Global Head of Risk, took part in a panel discussion on Avoiding crowds and modeling "endogenous" risk. Here is an extract of the questions and key points expressed by the panelists.

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Topics: Market Trends, Risk Management

The dust has settled on Fixed Income Attribution

Posted by Sean Murray, Director of Product Strategy, BISAM on Mar 22, 2017 8:30:00 AM

Not long ago, the notion of an investor requesting multi factor attribution on their fixed income portfolios was unheard of.  To a near lay-person, the concept of explaining the movements of a portfolio sensitive to interest rates was crazy.  Multi factor attribution was for the front office, and its value was hampered by the limitations of the solutions at that time - unofficial results driven by lackluster data quality, without the ability to control data sources (outside of what the vendor chose for you).

At the same time, vendors and solutions providers were working hard to convince the industry that one attribution methodology was better than the other.  Lehman (then Barclays and finally Bloomberg) had ”Hybrid Attribution,” other vendors provided “Key Rate Duration”, while still others tried to convince the industry they what they needed was ”Custom Attribution.”  I’ll let you in on a secret: 90% of the time the same story is told in the same way.  The brand name of a methodology is actually a marketing exercise.

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Topics: Fixed Income Attribution, Performance & Attribution

Case Study: Increased Productivity = Enhanced P&A Results

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Mar 15, 2017 10:42:50 AM

The global asset manager featured in today's customer success story collaborated with BISAM to get support for three key objectives: 1. Multi-asset attribution calculations, 2. Reduce manual processing and operational risks, and 3. Set up a scalable and timely process for performance data calculations and delivery. 

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Topics: Performance & Attribution

Sneak Peek: Sean Murray at the Upcoming FTF Performance Measurement Americas Conference

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Mar 8, 2017 9:25:04 AM

The FTF Performance Measurement Americas conference kicks off this afternoon in New York City, and BISAM is pleased to once again participate alongside our PMAR industry colleagues and customers. Our own Sean Murray, BISAM's Director of Product Strategy, will moderate the closing discussion on Thursday afternoon, and in today's BISAM Insights blog post, he shares a sneak peek of what participants can expect from the panel.

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Topics: Performance & Attribution

MILESTONE: BISAM and FinAnalytica One Year On.

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Mar 2, 2017 2:45:13 PM

It has been one year since BISAM announced its acquisition of FinAnalytica, expanding our best-in-class buy-side offerings to include multi-asset market risk, portfolio construction and investment decision analytics. In reflecting on related discussions with the market over the last 365 days, I was struck by the volume of new and innovative ideas that our thought leaders have delivered to the market - from headline-driven fat-tailed risk analyses to research on the correlations of market turbulence, volatility and liquidity risk.

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Topics: Risk Management

The Elegance of Simplicity: Basic Tenets of Technology

Posted by Sean Murray, Director of Product Strategy, BISAM on Mar 1, 2017 8:30:00 AM

I recently saw the movie La La Land, and it got me thinking about the current state of technology in our industry.  You’re probably thinking “he’s nuts - how could a blockbuster musical possibly align with technology in our industry?”  Easy: the elegance of simplicity.

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Topics: Data Management, Market Trends, Performance & Attribution, Risk Management

Risk Analysis of the U.S. Dollar Index (DXY)

Posted by Ivan Mitov, Head of Quantitative Research, BISAM on Feb 22, 2017 12:38:43 PM

 

During the last couple of weeks, the U.S. Dollar has lost some power with respect to the currencies of the United States’ major trading partners, prompting myself and my colleagues - Velislav Bodurov and Bono Nonchev - to question how strong and characteristic the movements are, as well as what methodology should be used to model them. Following is our analysis, which looks at the U.S. Dollar Index (DXY) using BISAM's patented Cognity® real-world risk modeling approach. 

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Topics: Risk Management