Buy-Side Technology Awards: Best Buy-Side Risk Management Initiative Over the Last 12 Months—BI-SAM B-One

This is Paris-based BI-SAM’s first win in the risk management initiative category, although Waters and Buy-Side Technology readers will be familiar with the name by now, given that BI-SAM has dominated the performance category every year since its first win back in 2008. Its two wins in this year’s awards brings to five BI-SAM’s total number of wins since 2008.

BI-SAM’s second gong of this year’s awards comes on the back of the new risk methodology, developed by a consortium of French asset management firms, which it folded into its flagship B-One performance measurement and risk management platform.

The consortium, comprising AXA Investment Management, BNP Asset Management, State Street, Amundi, and Dexia Asset Management, among others—collectively known as “club ampere,” an acronym for “asset management, performance and reporting"—developed the methodology with two objectives in mind: to allow asset managers to build ex-ante portfolios in order to meet their absolute or relative risk targets; and to assist asset managers when explaining to their investors the difference (or coherence) between the actual level of risk taken and the one expected, especially when the manager has exceeded the ex-ante threshold. In order to do this, the model considers volatility and tracking-error, two widely used indicators in the financial community.

The initiative, for which BI-SAM wins this award, entailed folding the new risk methodology into its B-One platform in conjunction with one of the club’s members, Covéa Finance. BI-SAM and Covéa collaborated on implementing the new methodology, organizing monthly reviews and common testing of the functionality. The entire project consisted of four phases: the development of the technical layer in order to manage and calculate around 170 variance-covariance matrices, which took 12 weeks to manage and six weeks to test; the support of equity portfolios, which took eight weeks to manage and four weeks to test; the implementation of multi-manager portfolios, which took eight weeks to manage and four weeks to test; and the implementation of pure multi-manager portfolios, which took four weeks to manage and two weeks to test. Clearly, the hard work has paid off. —VBA