BISAM Insights Blog

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

"Buy vs Build" in Performance Analytics

To build or to buy? As solution providers, this is an ongoing debate and one for which we certainly have a particular opinion. BISAM regularly speaks with firms to help them answer the question: when it comes to Performance and Risk solutions, should we buy, build or both? And as we’ve all seen in more recent years, the trend has clearly leaned towards the “BUY” of the equation, as outlined notably during the latest Buy-Side Technology North American Summit.

When it comes to Buy or Build, there are a number of things to consider: What is the required time to market? Does the organization have the right skillset? What will be the Total Cost of Ownership for the platform? Etc.

BISAM addressed these points in a detailed white paper just a couple of years ago, and the arguments remain fresh and current in favor of the “buy” trend.

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Topics: Market Trends, Performance & Attribution

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

Global asset management firm seeks scalable reporting solution that will adapt to its growing and diversifying portfolio

This month's B-One Implementation Success Story looks at the collaborative effort that led this European asset manager to significantly reduce report delivery time and fully eliminate the need for manual post-production reports editing.

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Topics: Reporting, Support & Implementation, Performance & Attribution

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 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

Risk Modeling and Volatility Estimation of the US Fundamental Factor Model Style and Market Factors

Posted by Bono Nonchev, Senior Quantitative Analyst, BISAM on Oct 26, 2016 8:27:46 AM

The equity style factors usually obtained via stock return cross-sectional regression have long been an industry standard and have proven their value (together with the industry factors) for decomposing equity returns and risk exposures. Along with their explanatory power for modeling the stock returns, the risk modeling and forecasting of those style factors is equally important. In addition to having the “right” factors we need to be able to model their risk “right”. In the latest research from our BISAM Risk team, including myself, Ivan Mitov, Velislav Bodurov and Boryana Racheva-Iotova, we try to go deeper into the style factor returns properties and their modeling from a risk estimation perspective.

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Topics: Risk Management

GIPS® Compliant Asset Manager Successfully Implements New B-One Reporting Solution

Posted by Florent Josset, Lead Implementation Manager, BISAM on Oct 19, 2016 10:18:42 AM

After becoming GIPS certified, this mid-sized asset manager turned to BISAM for an enriched reporting solution to slash their reporting time while simultaneously producing precise and in-depth attribution reports.

View the implementation success story to learn

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Topics: GIPS Composites, Reporting, Support & Implementation, Performance & Attribution

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