Algorithmics releases Algo Risk 2.0
24 January 2006 | 1856 views | 0
Algorithmics Incorporated, an international leader in enterprise risk management solutions, today announced the release of Algo Risk version 2.0.
Algo Risk, an asset class and risk factor agnostic decision support solution, provides portfolio managers, traders, risk managers and quants with a robust portfolio-modeling environment that enables users to measure, monitor, manage and optimize risk and return.
"This next generation of Algo Risk for the buy side significantly extends the solution's decision support capability as a risk-based, portfolio construction tool," says Dr. Andrew Aziz, Vice-President of Market Risk and Buy-Side Solutions at Algorithmics. "We have incorporated robust optimization functionality, coupled with extended model comparison and strategy analysis capability, to provide a fully integrated and asset class agnostic risk and portfolio modeling platform."
Algo Risk version 2.0 includes the following features:
-Optimization - Optimization enables users to construct efficient portfolios to meet desired investment objectives from both absolute and relative risk perspectives. Robust, user-defined optimization problem sets can be modeled providing users with the flexibility to define multiple objective functions (e.g. maximize return, minimize variance, minimize tracking error, minimize regret, etc); to specify multiple position level, group level and global constraints (e.g. trade restrictions, bounds on group allocations and risk measures, maximum number of trades, etc); and, to produce efficient frontiers of optimal portfolios.
Model comparison and trade strategy - Algo Risk v2.0 offers users a number of model comparison and trade strategy tools. Side-by-side comparison of different outputs across trading and "virtual" portfolios provides users with increased flexibility for portfolio modeling and risk analysis. Hedge instrument analysis, target trade computation and model portfolio creation are tools available for better trade analysis and investment decisions.
Account management - Account management enables users to create and manage portfolios, portfolio groups and benchmarks dynamically from the application's graphical user interface. Portfolios and benchmarks can be created by selecting positions from the trading portfolio and by adding new positions therein. Users can also directly build account groups and hierarchies containing a variety of trading and "virtual" portfolios.
Report sharing - Report sharing allows users to distribute their reports with ease amongst users of the same organization. Intended user-defined report structures and equations can be copied to another user's profile to maintain consistency and transparency within the organization.
Renewed graphical user interface - Algo Risk v2.0 offers users with a visually superior and newly redesigned interface that focuses on delivering key information with enhanced clarity and ease. New tools such as risk meter, stacked bar, dual criteria graph, summary table, etc are available to meet diverse users' reporting needs.
Extended portfolio and risk analytics - Algo Risk v2.0 includes risk analytics with a hedge fund focus. Not only does this include various exposure-based outputs (e.g. % of fund, net asset value, gross market exposure, net market exposure, etc), but also hot spot analytics, semi deviation and Sortino ratio to assist hedge fund managers in analyzing their investment decisions.