Moody’s Analytics adds market risk capabilities to portfolio management platform

Enhanced platform will help aid portfolio managers navigate increased volatility in the current trading environment.

Moody’s Analytics has added market risk analytics to its PFaroe Portfolio Management (PM) Platform to help portfolio managers navigate current market volatility, The TRADE can reveal.

PFaroe PM will now offer historical and Monte-Carlo risk analytics alongside its multi-asset class performance attribution capabilities.

The platform will allow users to calculate risk measures including standard deviation, Value at Risk (VaR) as well as expected shortfall using both historical and Monte-Carlo simulation methods.

Risk has the potential to change gradually over time, affecting users’ ability to identify incremental changes when using point-in-time systems. The PFaroe PM platform addresses this by calculating, storing and visualising risk through time, allowing market changes to be easily identified by users.

In addition, an intuitive risk decomposition will give users the ability to focus of the details of the sources of risk affecting their portfolio.

The PFaroe PM platform offers portfolio managers a full view of their risk/return profile, allowing market participants to better navigate rising interest rates and inflation in the current environment.

Moody’s Analytics claims that users will be better equipped to avoid unwanted risks, to quickly respond to these risks for their clients, and to turn investment risks into investment opportunities.

“Understanding portfolio performance has never been more important. Increasingly, investors are seeking greater insight into the underlying factors impacting their portfolio managers’ investment performance,” said Matthew Watt, director of product management, buy-side solutions at Moody’s Analytics.

“Offering risk capabilities using those same factors informs investors on the volatility underpinning each manager’s strategies.”

The enhanced version of the PFaroe PM platform will be available from 1 August this year.