"This latest version of Algo Risk delivers more advanced risk management functionality to traders, portfolio managers, as well as risk managers," said Michael Zerbs, Algorithmics Chief Executive Officer. "Algo Risk continues to evolve and version 1.5 delivers a comprehensive group of packaged analytics for portfolio optimization, 'what-if' scenarios, and spread duration as well as user-defined functionality to explore multi-benchmark associations, aggregation and hierarchies, and to customize outputs."
Enhancements to Algo Risk version 1.5 include:
Advanced Tracking Error decomposition - To identify the relative risk contribution of a portfolio, group of instruments, or even individual instruments to the total risk, Algo Risk allows users to find the relative Tracking Error contribution of a portfolio, sector, and investment strategy.
Unconstrained portfolio optimization - Algo Risk identifies the minimum achievable Tracking Error from a specific investment strategy. It also provides associated best-hedged positions and trade risk profiles.
Custom expression builder - Each end-user can customize their own outputs by applying arithmetic (+,-,/,*) functions to existing outputs/inputs.
User-defined aggregation schemes and user-defined hierarchies - Algo Risk users can customize their aggregation schema. Users can define aggregation buckets for a number of numerical functions such as maturity dates, durations, exposures, market capitalization, and so on. They can also create their own multi-level aggregation schema by combining and ordering a series of aggregation keys.
Multi-benchmark associations - Users can assign different benchmarks at different levels of the portfolio hierarchy and create a global and consolidated view of their firm or department's risk profile. Algo Risk provides users with a concerted area to analyze duration-based risk assessment.
Comprehensive duration and spread duration reports - Users can consult a single "analytic" report that identifies active duration, active spread durations, and active yields.
Advanced 'What-if' functions - Algo Risk version 1.5 allows unit changes to be applied for relative risk measurements and weight changes for absolute risk. Version 1.5 supports advanced cash-settlement capabilities to facilitate application of 'what-if' scenarios combined with consistent cash settlement capabilities.