FactSet expands portfolio analytics with ICE liquidity indicators

The integration of ICE Liquidity Indicators by FactSet will offer clients a solution for the analysis, management and reporting on fund liquidity risk.

FactSet has integrated ICE Liquidity Indicators, part of the Intercontinental Exchange, into its portfolio analytics offering to enhance risk analysis for institutional investors.

ICE Liquidity Indicators provide market participants with liquidity risk assessments across asset classes by assigning a liquidity score to individual securities using various metrics.

Metrics include estimations on future trade volume capacity, price volatility, expected days to liquidate and impact on market price.

“Leveraging ICE Liquidity Indicators through FactSet provides portfolio-specific liquidity analytics and helps the team at Jupiter provide enhanced liquidity risk management on behalf of our clients,” Veronica Lazenby, chief risk officer at Jupiter Fund Management, commented on the development. 

“Recent market moves and dislocations continue to highlight how important it is for firms and clients to manage and understand this specific kind of risk holistically for effective portfolio management, as well as for regulatory compliance.”

The indicators currently track approximately 4.6 million instruments, covering nearly all asset classes, according to ICE. The exchange group added that the shift to electronic trading was driving an increase in demand for more in-depth data. 

“A growing number of investment managers want to easily quantify their liquidity risk across normal and stressed conditions and Liquidity Indicators gives them a solution to do that,” Mark Heckert, chief product officer, fixed income and data services at ICE.

“Providing institutional customers with clear estimates of potential activity in the market helps demonstrate sound risk management practices and can help firms meet their regulatory requirements.”

This is the second liquidity-focused initiative by FactSet in the last 18 months, as it looks to improve its client user experience. In January last year, Barclays expanded its partnership with FactSet to broaden the distribution of its bond liquidity metrics known as Liquidity Cost Score.