Portfolio risk analysis allows to measure the risk taken by fund managers when implementing investment decisions. The analysis includes the definition of risk budgeting policies, risk targets and the fund management style. Each portfolio is monitored daily on the basis of statistical indicators, among which Value at Risk (VaR) and Tracking Error Volatility (TEV) and on the basis of the breakdown of the portfolio into individual factors that reflect management decisions.
In depth performance attribution analyses are carried out on portfolio yields, in absolute terms or with respect to a benchmark, so as to compare risks/returns.
BarraOne is the application used for risk analysis, available both for activities performed by the Risk Management Department and by the different management teams. The platform is characterized by:
- Management of simulation methodologies based on full repricing
- Management of multifactorial model
- Certified management of market data
- Dynamic reporting outlined on different customers’ needs
The portfolios analyzed daily are more than 800, among which mutual funds, managed accounts, institutional accounts and insurance accounts.
Risk data quality produced by the application BarraOne is constantly monitored through back testing analyses. In addition, it is possible to use the stress testing feature to perform scenario analyses by simulating the impacts, on portfolios and related benchmarks’ performances, of shocks applied to macroeconomic and/or market factors.