FinAnalytica Integrates Holdings, Exposures and Returns Risk in New Cognity Release

New York and London - 10 June 2010

- Single risk management interface for all levels of transparency
- Enhanced workflow for single and multi-factor exposure analysis
- Expanded asset class coverage
- New fund liquidity-adjusted measures for screening, risk and optimization

FinAnalytica, the leading provider of real world portfolio risk solutions for asset managers, hedge funds and multi-manager funds, today launched Version 3.2 of its Cognity risk management and portfolio allocation platform to offer risk measurement and reporting across all levels of transparency, including positions, exposures and returns.

The latest version of Cognity offers unified risk measurement and reporting by integrating inputs of manager-provided factor exposures with portfolio positions and manager returns. Portfolio managers and risk officers are able to decompose their risk in a single view regardless of the type or level of inputs. This new functionality is enhanced with a new rapid factor modelling process that combines single and multi-factor regression analytics including both linear and non-linear settings. Asset class coverage continues to expand for position-based analytics, including the addition of asset backed securities, total return swaps and the expansion of futures and futures options to include energy, precious metals and agriculture.

FinAnalytica CEO, David Merrill commented, “Transparency is king. Our multi-manager customers must be capable of responding to their investors with clear and accurate insights into the levels and sources of risk at all possible levels of information transparency. Our traditional asset management and hedge fund customers need an aggregate view of their risk across all types of portfolio strategies and asset classes. This release gives both groups the tools to make use of all available information, be it positions, exposures or returns, in a single analytical and reporting platform.”

Cognity 3.2 includes new liquidity-adjusted manager risk and performance measures. Taking fund lockup, notice period and redemption frequency inputs, Cognity calculates liquidity adjustment factors based on its downside ETL performance as well as classical MPT measures. Using these adjusted measures, assets are screened and ranked according to their liquidity-adjusted risk performance ratios. Cognity’s risk calculators apply the adjustment factors in the Monte Carlo simulation of VaR and ETL estimates. In the portfolio construction and rebalancing process, the adjustments are factored into the optimizer to generate efficient portfolios based not only on risk-reward appetite, but also on liquidity driven policy.

Boryana Racheva-Iotova, President, FinAnalytica, added, “Transparency and liquidity go hand in hand. These latest additions demonstrate real transparency by providing investors with risk and performance measures adjusted for liquidity.”

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