PerTrac, the leading provider of analytics, reporting and communications software for the investment management industry, today announced the release of PerTrac RiskPlus 1.2, an advanced risk analysis module designed to help institutional investors and portfolio managers decompose hidden risks through the use of multivariate factor analysis, stress testing, and risk budgeting.
PerTrac RiskPlus is built in partnership with FinAnalytica, the leading provider of performance and position based risk solutions for allocators.
A key problem for institutional investors has been that illiquid assets such as private equity, real estate and other alternative investments are hard to value on a monthly basis. PerTrac RiskPlus 1.2 provides advanced infilling techniques to convert quarterly illiquid asset performance into monthly performance streams. The infill process creates a level playing field whereby illiquid assets can now be included in a portfolio risk assessment, alongside funds which already have monthly performance data streams. Only through this combination of liquid and illiquid assets can an investor truly create a holistic picture of the risk they bear.
"This release of PerTrac RiskPlus provides Haverford a new lens with which to understand portfolio risks not detected with traditional risk measures. This new 'infilling' capability will enable us to better assess the illiquid asset risk coming from our private equity and real estate investments and its impact on our total portfolio," says Michael Casel, Director of Investments at Haverford College.
PerTrac RiskPlus 1.2 also allows investors to thoroughly break down and understand the risks and exposures of funds with a specific geographic focus. Using five new geographically-focused factor models, which have been defined and tested by FinAnalytica's quantitative research team, investors can, for example, assess Asia-focused funds using an Asia-specific factor model rather than analyzing risk with the same factor model used to analyze non-geographically focused funds.
"Whether you are an investor or a manager, you are concerned with limiting losses when the worst-case scenarios arise. Decisions based on traditional risk measures and the assumption of normal return distribution characteristics for assets have led to potentially large portfolio losses by underestimating hidden risks. This new release of PerTrac RiskPlus gives investment professionals the tools they need to analyze their comprehensive risk," said Brendan Dolan, Co-President of PerTrac.
"The partnership with PerTrac has allowed us to introduce our patented fat-tailed modeling technology to PerTrac's investor base. PerTrac RiskPlus 1.2 broadens customers' ability to manage their global portfolio, including illiquid assets, helping to improve returns," said Dave Merrill, CEO of FinAnalytica.
Since the start of 2011, the number of PerTrac clients using PerTrac RiskPlus has doubled. The popularity of PerTrac RiskPlus is one of many signs that institutional investors are focusing more sharply on sophisticated risk management.