-
>50%
reduction in annual cost
-
150+
funds covered, producing daily risk metrics and dashboards for portfolio managers
-
90%
reduction in turnaround time, due to seamless automation
CLIENT CHALLENGES
- A global asset manager (AUM > $250bn) required support for investment risk calculations, aggregation and decomposition of investment portfolios using multi-factor risk models.
- The Investment Risk team required a mix of domain expertise, technology acumen and flexible engagement models to build an efficient, scalable and reliable system that seamlessly integrated into its existing infrastructure.
OUR APPROACH
- Acuity analysts worked out the risk mathematics using a matrix algebra method, prepared calculations on Excel and derived certain new risk indicators suitable for the client.
- The team developed an Excel/VBA tool that could be used to generate risk reports rapidly for multiple funds of funds.
- Dashboards were created to present key information: risk decomposition, risk aggregation, style analysis, tracking error forecasts, etc.
- The tool was later rebuilt in a C# platform with an interactive user interface and automated and scheduled runs.
- Modules for automated report generation, database uploads and dashboards were added to the tool.
IMPACT DELIVERED
- Provided rigor at scale, with a good mix of risk analysts, technologist and senior project managers with extensive capital market experience.
- Studied the client’s requirements in detail and helped frame the right metrics that accurately captured risks in the client’s portfolio
- Provided highly qualified and experienced resources at a lower cost
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