Riskdata launches Portfolio Designer, a breakthrough portfolio construction system, delivering proven boost to long-term returns
Riskdata, the leading provider of risk management solutions to the alternative investment marketplace, announces that it has launched its Portfolio Designer offering. This revolutionary portfolio construction solution is the first one enabling the delivery of robust extreme risk diversification, based on limits for market, liquidity and operational risk, and integrating the portfolio manager's views on markets and assets.
The first aim of the solution is to help investors build sustainable, long-term excess returns. This new generation solution also addresses emerging post-2008 needs regarding portfolio diversification in extreme market situations, triggered both by regulators (UCITS, Solvency II) as well as by institutional investors' new investment practices.
A massive out-of-sample back test of the solution, run on a sample of 1,000 hedge funds over the period 2001- 2010, and integrating real-life constraints in terms of information collection and liquidity constraints, showed an average long term performance improvement of 55% with a failure rate below 3%.
Deputy Chief Investment Officer, Danny Sachnowitz, from Texas Treasury Safekeeping Trust Company (TTSTC), a public endowment with a broad, flexible investment mandate, commented: "Since early 2008, our portfolio construction approach has integrated extreme risk limits and risk budgeting, including analysis based on market factor exposures. Thanks to Riskdata Portfolio Designer, we can now easily translate our views and our board guidelines into powerful simulations."
Adil Abdulali, Risk Manager at Protégé Partners, added: "Quantitative risk management has always been an essential part of our investment process. Riskdata Portfolio Designer is a breakthrough solution that efficiently integrates portfolio exposures and overlays. It allows us to consistently combine qualitative views with quantitative portfolio constraints."
Olivier Le Marois, Chairman of Riskdata, said: "Portfolio Designer has been created for all the investment managers who work within risk budget guidelines and want to integrate real life constraints. It reflects several years of development by Riskdata's research team, and its very strong value proposition relies on its proven capability to enhance long-term returns, reducing the max draw down while optimizing Alpha extraction."