The new version of PerTrac's risk management software includes features like user-defined stress tests.
Analytics provider PerTrac, in collaboration with FinAnalytica, has released version 2.0 of its RiskPlus portfolio risk management application.
RiskPlus 2.0 allows for the creation of custom factor models from a list of 170 global factors, where investors can build models aligned with their investment strategies by adding or subtracting factors. It can create user-defined stress-test scenarios and perform historical stress tests over 11 known historical events such as Black Monday, the Asian crisis, or the crash of 2008.
RiskPlus reports have been expanded to include expected tail return (ETR), which separately measures the potential for large upside gains. This, combined with expected tail loss (ETL), offers a tool for assessing the risk and reward impact of potential portfolio changes.
“Fat-tailed statistics and risk budgeting help us separate downside risk from upside potential and learn which funds are contributing to our returns and our risk. This newest release greatly enhances our ability to tailor our analysis to the most important factors and scenarios that could affect our portfolio," says Derek Drummond of the State of Wisconsin Investment Board.
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