HazelTree To Partner with PortfolioScience

New York - 2 October 2012

New team introduces latest breakthrough in customized data analytics

HazelTree, a leading provider of Treasury, Portfolio and Compliance services for alternative investment managers, and Portfolio Science, a provider of turn-key risk management systems for hedge funds and financial services companies, today announced the integration of HazelTree’s Portfolio Suite with Portfolio Science’s RiskAPI service, an on-demand, multi-asset risk analysis system. The resulting application extends HazelTree’s real time P&L view with customized risk measurements for VaR, exposure analysis and stress testing.

Stephen Casner, CEO of HazelTree, explains the motivation behind this latest enhancement to his firm’s suite of services: “We have created one of the most cost effective and powerful real time P&L reporting tools for hedge funds that have multi-asset portfolios. By integrating Portfolio Science’s web services into our system, we are able to deliver dynamic risk calculations directly to the trader and portfolio manager’s desktop. This truly enhances the service we provide our hedge fund clients for exposure calculations, allowing for instant recalculation of metrics based on multiple scenarios of their choosing.”

Ittai Korin, President of PortfolioScience, views the new partnership with HazelTree as extremely client-centric, and essential to fully optimizing a fund’s potential performance. “HazelTree clients now have the ability to instantly view a variety of different risk analytics and stress tests, so they can make better-informed decisions concerning their portfolio” said Korin, adding, “Given the volatility that defines today’s market, nothing is more important than that.”

The new service provides a full spectrum of analytics, including:

• Multi-model Value at Risk (VaR) - Volatility based, Delta-Normal, Historical Simulation, Decayed Historical Simulation, Monte Carlo and more.

• VaR decomposition - coherent, sub-additive component VaR, as well as Marginal VaR and Incremental VaR.

• Expected Tail Loss - conditional VaR analysis of tail events/tail loss.

• Advanced volatility analysis - EWMA volatility, as well as GARCH.

• Sophisticated Options Analytics - Sensitivities (all "greeks", as well as on-the-fly implied volatility calculations).

• Correlation & Covariance Matrix analysis.

• Stress-testing - hypothetical index moves, underlying asset shocks, volatility spikes, and historical scenario analysis.

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