Fund Manager is typically used by mutual funds managers and investment advisors. Its major functionality includes analysis of multiple asset class instruments plus traditional asset allocation analysis, performance attribution, VaR and CVaR calculations, back testing and correlation analysis

Asset Pricing

RizkLab Fund Manager calculates zero coupon yield curves using any combination of quoted bonds, reference rates, interest rate swaps or forward rate agreements. Together with user defined credit curves these can be used to calculate the price of all deterministic cash flows, as well as interest rate swaps, floating rate notes, caps/floors, swaptions and so on.

For valuation of derivatives RizkLab Fund Manager offers the possibility to use numerous methodologies, including Binomial/Trinomial trees, analytical pricing and Monte Carlo simulation. Volatilities can be calculated using historical volatility, Black & Scholes implied volatility, and even through three dimensional interpolations of observed option volatilities.

Risk Management

Fund Manager supports several risk measures, including VaR, CVaR, Expected Shortfall, Sharpe Ratio, Information Ratio, Return/Vol ratio, and so on. Risk evaluation can be performed either relative to a benchmark or as absolute measures. All calculations is performed with state-of-the-art models.

The main risk parameter in the Fund Manager is Value at Risk. Value at Risk is calculated using Monte Carlo Simulation based on either historical or hypothetical return distributions, currency rate changes and yield curve transformations. A portfolio can be divided into different strategies, and risk can be explained in terms of strategy contributions as well as security contributions.

Performance Attribution

Fund Manager calculates relative and absolute performance attribution for any period. The performance can be explained in terms of individual security contributions as well as strategy contributions.

Diverse Security Coverage

Maintain a Single Platform for All Assets of the Firm

• Manage and report on a wide range of U.S. domestic and international instruments: equities, mutual funds, fixed income, derivatives and variable rate securities
• Track and analyze fixed income characteristics including yield method, amortization and accretion, duration, odd coupon dates, ratings, tax status, and more
• Report cash flows and yield analysis of a broad range of fixed income security types, including money market and other cash types, variable rate assets, municipal bonds, corporate and government bonds, floating rate securities, mortgage backed securities and step-up bonds
• Manage and report on portfolios grouped in a variety of ways: by manager, asset class, investment objective, or any category desired
• Identify components of returns (bifurcation) attributable to market prices versus currency rate fluctuations

Capital Markets Commission Standards - Compliant Risk Management and Reporting
Present Performance with Confidence

• Calculate all basic risk measures for portfolios, portfolio groups and strategies.
• Measure and analyses risk contributions coming from derivatives.
• Use state-of-the art pricing models to mark OTC contracts to market. Measure and analyze counterparty risk
• Calculate market exposures
• Use adjusted methods, in case of complex derivatives or warrants, to calculate notional amount
• Calculate delta, beta and delta - beta values at portfolio, strategy and security level, on a daily basis.
• Use stress testing and back testing to determine the potential loss of the portfolio and scenarios under which the portfolio risk is increased. Calculate the ‘what if` return under historical events, correlation break down scenarios, ‘volatility shock` performance scenarios and counter party default.
• Produce extensive Monte Carlo simulation techniques and capabilities, reaching dynamics to 100.000 simultaneous simulations in seconds.
• Calculate the maximum potential portfolio loss for specific investment horizons and confidence levels
• Calculate portfolio, benchmark and benchmark relative Value at Risk (VaR), Conditional Value at Risk (CVaR), and Short Fall Risk using your own choice of confidence level and investment horizon.
• Well documented and transparent Value at Risk methodology. No ‘black box` calculations.
• Calculate daily market values of any market derivative or counterparty insurance.
• Calculate daily market values and net exposures for equity options, illiquid bonds, convertible bonds, warrants, forward rate agreements, interest rate swaps, credit default swaps, counterparty insurances, FX forwards and currency options.
• Generate end of day reports for every mutual fund managed, containing all instruments market value, derivatives and warrants transaction security margin, notional amounts and unrealized profits, portfolio and benchmark portfolio segmentation and VaR.

 
A Powerful & Robust Reporting Automation and Packaging Solution

Streamline the Process of Customizing Reports

Increasingly, clients today require highly individual customization of their period-end reports. Fund Manager® incorporates a powerful reporting and packaging solution that speeds the process of customization and alleviates complications arising from highly manual processes.

• Boost productivity and improve client service
• Respond to the increased demand for more individualized reporting, while reducing the time required to complete and send report packages
• Increase accuracy of reporting by saving the customizable contents of each report package, who receives it, and when the package should be generated.
• Automate collation and printing of reports
• Free up significant operational time from the growing burden of compiling custom reports

Automated Electronic Interfaces With Third-Party Service Providers

Speed the Exchange of Information with Outside Providers

Eliminate time-consuming, error-prone data entry by using automated electronic interfaces to a host of service providers: brokerage firms, custodians, pricing and data vendors. Fund Manager® enables you to:

• Have a pre installed online, real time feed from trusted leading market providers (Bloomberg, Reuters, FT)
• Automatically populate your files with domestic and international pricing analytics, security descriptions, dividends, fundamental data, spot and forward exchange rates, index data, and more through FTID.