FinAnalytica, a provider of portfolio risk solutions for asset managers, hedge funds and multi-manager funds, has launched Version 3.2 of its Cognity risk management and portfolio allocation platform to offer risk measurement and reporting across all levels of transparency, including positions, exposures and returns.
According to the company, the latest version of Cognity offers unified risk measurement and reporting by integrating inputs of manager-provided factor exposures with portfolio positions and manager returns. Portfolio managers and risk officers will be able to decompose their risk in a single view regardless of the type or level of inputs.
This new functionality is enhanced with a new rapid factor modeling process that combines single and multi-factor regression analytic including both linear and non-linear settings.
Cognity 3.2 includes new liquidity-adjusted manager risk and performance measures. Taking fund lockup, notice period and redemption frequency inputs, Cognity calculates liquidity adjustment factors based on its downside ETL performance as well as classical MPT measures.
Using these adjusted measures, assets are screened and ranked according to their liquidity-adjusted risk performance ratios. Cognity’s risk calculators apply the adjustment factors in the Monte Carlo simulation of VaR and ETL estimates. In the portfolio construction and rebalancing process, the adjustments are factored into the optimizer to generate efficient portfolios based not only on risk-reward appetite, but also on liquidity driven policy.
David Merrill, CEO of FinAnalytica, said: “Transparency is king. Our multi-manager customers must be capable of responding to their investors with clear and accurate insights into the levels and sources of risk at all possible levels of information transparency.
“Our traditional asset management and hedge fund customers need an aggregate view of their risk across all types of portfolio strategies and asset classes. This release gives both groups the tools to make use of all available information, be it positions, exposures or returns, in a single analytical and reporting platform.”