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

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

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

Infographic: Build A Better Portfolio with Cognity

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Feb 15, 2017 8:53:10 AM

Investment professionals - RIAs and Asset Managers alike - must constantly find ways to differentiate and offer deeper level of insight into portfolio construction, including risk and return drivers and trade-offs, volatility, sensitivity analysis, correlations, and other quantitative factors. 

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Topics: Reporting, Risk Management

ETFs and Hidden Risks in your Portfolio

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

An article published recently on FT.com detailed the rise in use of ETFs as an alternative to actively managed (or passively managed) Mutual Funds. The piece, ETFs are Eating the Stock Market, notes that the reasons investors choose ETFs over Mutual Funds are well understood, and can be summarized as broad investment allocation across segments with low fees.  The article goes on to surmise that ETFs are here to stay, even with a presumed turnaround in active management in 2017. So for those firms selecting ETFs as a quick and easy way to gain exposure to a specific segment, what might be the overall impact on your portfolio, and how can you prepare for the potential of hidden (and unintended) risks?

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Topics: Data Management, Performance & Attribution, Risk Management

BISAM Daily Risk Statistics – Post Inauguration Market Observations

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Jan 25, 2017 11:27:57 AM

In their November 2016 post-election analysis, Is the Recent Market Rally Indeed Small Caps Drivenour BISAM Quant team noted that, “despite the media expectations of a swift market crash following the U.S. presidential elections on November 8, 2016, the markets actually continued going up significantly.” Since then, our team has kept an eye on the Cognity Daily Risk Statistics, which visualize Normal vs. Fat-Tail VaR spreads.*  As of today, it would seem that the spreads have remained fairly flat across both the Russell 2000 and S&P 500 - a signal of ongoing optimism in the current market regime.  

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Topics: Daily Risk Statistics, Risk Management

Global asset manager reduces VaR exceedances over multi-asset, multi-currency funds in compliance with UCITS.

As head of account management for BISAM’s Cognity risk customers, I am pleased to share this Cognity customer success story, which looks at how the Head of Risk at one of our asset management customers leveraged Cognity to regain compliance with UCITS requirements around VaR exceedances. Prior to consulting the BISAM Cognity team, the customer was using a risk model and risk platform that was not able to provide accurate risk estimates within two multi-asset, multi-currency funds. As a result, the customer saw more than 20 Value at Risk (VaR) exceedances in one year. Looking for more accurate measures, the customer turned to our Quant team and the Cognity platform, which proved to provide a clearer lens into the firm’s portfolio risk, utilizing our open and transparent “real world” risk modeling approach that understands the structure of financial asset distributions and adapts to all markets regimes. Following is a summary of the customer’s challenges and the Cognity solution that helped them to regain confidence in their approach, and instill trust with their board and regulators.

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Topics: Risk Management