BST Awards 2020: Best risk management product—FactSet

Buy-side firms now regard the function of a risk management system as moving beyond simple compliance into the heart of the investment process. Which is why FactSet developed a risk platform that accounts for managing risks within the long-term asset allocation mix, while avoiding short term turbulence and capturing alpha, and providing the necessary efficiency and interconnectivity of its solutions.

The risk platform leverages FactSet’s multi-asset class risk models across any investment workflows to suit any kind of institutional investor firm, says Boryana Racheva-Iotova, senior director of risk and quantitative strategy at FactSet. Integrated risk models, workflows, and factor modelling approaches for equity, fixed income, commodity, alternatives, and derivatives capture systemic shifts in all markets.

“Serving the variety of investment styles, FactSet models encompass Linear and Monte-Carlo multi-asset class models based on fundamental characteristics, as well as full repricing models, and as such are leveraged across any investment strategy that any type of institution would make,” Racheva-Iotova says.

Over the last year, FactSet added to its platform its first equity factor model, daily corporate spread factor models for developed market corporate bonds, and FactSet Optimizer, an optimization model based on scenario simulations from the fat-tail multi-asset class model.

Racheva-Iotova says FactSet’s clients want to be able to evaluate their risk profiles from portfolio construction to asset allocation, evaluating the impact of investment decisions from the risk perspective.

“From that holistic perspective, it’s the evaluation of all the assets you are investing in, and then as you make those investments, the ability to look at those and make sure you stay within the risk profile you set. And gauge that risk profile relative to your overall performance outcomes,” she says.

Racheva-Iotova says FactSet will continue to enhance its multi-asset class model. “We see a shift into private markets and alternative investments, and a push around alternative factors and data, and we are continuing to update and ensure that our models are at the forefront of coverage and understanding various complex instruments,” she says.