Algo Asset Management is used by both Robecoâs front office portfolio managers and risk managers. "Since the early nineties, we have been committed to making risk management an essential component of our investment process," says Pim Poppe, Head of Group Risk Management at Robeco. "The systems we developed for equity, fixed income, balanced portfolios and credit spread, worked well from a methodology point of view but did not allow us to scale the number of portfolios. Algo Asset Management enables us to use our own methodologies in Algorithmicsâ stable and scalable environment. The solution allows us to understand and manage our risk from many valuable perspectives. Its flexible approach enables us to map risk directly to our investment decisions."
Algo Asset Management is an important part of Robecoâs enterprise-wide risk measurement and risk control process. Robeco uses Algorithmicsâ Mark-to-Future methodology and latest âwhat ifâ analytics for pre-decision analysis of orders, allowing portfolio managers to evaluate the impact of each new transaction on the risk of the portfolio prior to execution.
"We can compute tracking error, marginal tracking error and tracking error contributions for all positions and determine whether they break limits. This is very important to Robeco," continues Poppe.
"Robeco is very quantitatively oriented and understands both the business benefit of utilizing an advanced risk solution and the benefits such an approach can deliver to its clients," says Michael Zerbs, Chief Operating Officer at Algorithmics. "This represents an important milestone for our Algo Asset Management solution, for it covers both the portfolio management and the risk control requirements with true, advanced risk analytics."