BISAM Insights Blog

Erika Alter, Global Head of Commercial Strategy, BISAM

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Analyzing Volatility, a Cognity Case Study: Assessment of 2008 VIX Short

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Dec 7, 2016 8:30:00 AM

Last week, in response to a recent story in the Financial Times,TM we published The VIX, Volatility and Market Risk. In that post, we outlined the BISAM Cognity approach to modeling risk, explaining that our "real world" risk models do not assume risk equals volatility, but rather that turbulence (vol of vol),  deviation from normality and "tail-fatness" are the lenses through which market risk should also be measured. 

To this point, and as a follow up to last week's post, I'm pleased to share this Cognity backtest from our archives, which looks at a set of long and short call "what if" scenarios on the VIX in September 2008.

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Topics: Daily Risk Statistics, Risk Management

The VIX, Volatility and Market Risk

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Nov 30, 2016 10:32:33 AM

Just before the Thanksgiving holiday in the U.S., the Financial TimesTM published a piece by Miles Johnson, Tail Risks Wagging the Dog with Wall Street Fear Gauge. In his piece, Mr. Johnson notes, “the risk for any human or computer using the VIX as a gauge of how risky or safe the market may be is that there are reasons to believe it has become an increasingly scrambled signal over the past five years.” He continues on to suggest that, “Stock market investors who have been finding solace in apparently subdued volatility may one day be in for a violent awakening.”

Putting aside Mr. Johnson’s question re: whether or not the VIX is being influenced by the huge volumes being traded in short-dated VIX futures, we at BISAM think the more important point is the noted cause for concern for “anyone currently using the VIX index as an independent variable to inform their decisions.”

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Topics: Risk Management

Post-Election Analysis: Is the Recent Market Rally Indeed Small-Caps Driven?

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Nov 22, 2016 1:32:24 PM


In the wake of the U.S. Election and related market rally, I am pleased to present this latest research snapshot from BISAM's star quant analysts: Bono Nonchev and Velislav Bodurov.

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Topics: Risk Management

Ask the Expert: Data Governance and Transparency with Lisa Conner

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Nov 10, 2016 9:00:00 AM


This week Lisa Conner, Head of Data Management at BISAM, and I discuss the importance of enterprise-wide agreement on data governance and management, and the importance of transparency across all data sources.

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Topics: Data Management

Prepare for the Unexpected - Cognity Daily Risk Statistics

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Nov 2, 2016 8:00:00 AM

You may have noticed a new addition to the bisam.com website: The Cognity Daily Risk Statistics, which visualize daily estimates of fat-tailed VaR and ETL (Expected Tail Loss), along with the widely used "normal" VaR for major global indices. And if you take a look at the Normal vs. Fat-Tail VaR spreads over the last week, you'll see that "the most interesting thing right now," as my colleague Bono Nonchev observed, "is how uninteresting the markets are at the moment."

But look more closely at the U.S. markets, and you'll see a slight widening of the Normal vs. Fat-Tailed spread, indicating potential signs of risk...perhaps attributed to the upcoming U.S. Presidential election and related unknowns?

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Topics: Risk Management

Build a Better Portfolio to Build Better Advisory Relationships

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Oct 12, 2016 8:30:00 AM

In a recent blog post by Morgan Housel of the Collaborative Fund, The Most Overlooked Trait of Investing Success, I was struck by this particular comment: “The most overlooked trait of investing success is communicating to your clients the softer and emotional side of investing. A knowledge of market history. An acceptance of volatility as a normal part of investing. That you can be wrong on half your investments and still do well over time.”

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Topics: Reporting, Risk Management

Five Competencies that Investors Should Expect From Their Asset Managers

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Sep 28, 2016 8:00:00 AM

Meeting the needs of institutional clients is of course a key focus for asset management organizations, and those needs are becoming more sophisticated and more challenging.  The reporting model between asset managers and their institutional clients used to be a ‘standardized push’ model in which clients were given whatever information their managers could provide, when they could provide it, and in the format that they could provide. That’s all changed. Today’s reporting model is a ‘customized pull’ model, with the clients dictating what should be delivered, when and how.

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Topics: Reporting, Performance & Attribution, Risk Management

Global Asset Manager Successfully Implements B-One for Overnight Reporting & Account Expansion

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Sep 14, 2016 8:00:00 AM

This month’s Implementation Success Spotlight focuses on an institutional asset manager who selected the B-One Performance platform to deliver a scalable reporting solution in support of overnight reporting and expansion of new accounts – all with a streamlined, low risk architecture.

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Topics: Support & Implementation, Performance & Attribution

Risk Modeling for Negative Interest Rates

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Sep 7, 2016 8:00:00 AM

For some time now, negative interest rate policies (NIRPs) and negative yields have been dominating global headlines, but it seems to me that the discussion has become even more amplified in recent weeks. With headlines ranging from speculation about NIRPs in the US: The Fed May be Preparing for the Unthinkable — Negative Interest Rates in America,[i] to the new normal existence in Europe of negative yielding bonds: Negative yielding Euro Corporate Bonds,[ii]it is no doubt important to address the risk modeling requirements in this environment.

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Topics: Risk Management

Most Popular Posts of the Summer - 2016

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Aug 30, 2016 8:00:00 AM

From Brexit stress-testing to POINT transitions, the summer of 2016 has been a busy one for our BISAM Insights blog contributors. We have summarized our top five most popular posts of the season to help you ease into this last week of summer. The most-read posts include a B-One implementation success story, pre/post-Brexit FX rate correlations, a discussion re: POINT transition considerations, how to leverage B-One for multi-manager performance reporting, and the rise of the Performance Team's importance across the asset management space, as told by Peter Ellis. We hope you enjoy the insight and expertise of our thought leaders, and we welcome your comments. Enjoy!

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Topics: Performance & Attribution, Risk Management