Sun, Nov 23, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Investor Analytics launches VisualVaR

Friday, September 13, 2013
Opalesque Industry Update - Investor Analytics LLC, a global leader in risk analysis and risk management solutions, has announced the launch of VisualVaR™ – a new approach in communicating Risk using intuitive visual diagrams that explicitly reveal the amount of diversification in a portfolio. The patent pending approach will become part of IA’s overall suite of risk transparency services and has been made accessible on a complimentary basis for those interested in seeing how risk adds in a simulated portfolio. VisualVaR will enable allocators, fund managers and the financial industryat-large to visually comprehend the diversification dynamics of their portfolios while providing better transparency and more intuitive and effective Risk communication.

Damian Handzy, Chairman and CEO of Investor Analytics said, "We are excited that this new visual approach will assist investors and fund managers in better understanding their portfolio’s Risk. VisualVaR was designed with the specific goal of fostering more simple and intuitive conversations about Risk and Diversification.”

VisualVaR takes advantage of a useful geometric interpretation of the industry standard ‘Value-at-Risk’ (VaR) measure which shows how the risks of two parts of a portfolio interact and add together to the total portfolio risk. Risk does not add linearly: a portfolio’s total risk is not the sum of its parts due to diversification, and VisualVaR is designed to shows how those risks actually do add together.

In the VisualVaR diagram, as seen above, one part of the portfolio is always drawn as a horizontal line, representing the “base” or “starting point” portfolio’s risk. The other part of the portfolio’s risk, representing a new investment or a part of the portfolio to be analyzed is drawn from the rightmost end of that first line (shown in blue in the diagram). The direction of that second (blue) line represents the correlation between the two parts. The total risk is then the line that completes the triangle (shown in red). Comparing the lengths of the red arrow (total risk) and the grey arrow (initial risk) indicates whether the investment in question increases or decreases total portfolio risk. The diversification benefit achieved by the analyzed investment is precisely the difference between the lengths of the grey and red arrows.

Michael Poisson, Managing Director added, “VisualVaR enables allocators to better understand their existing portfolio, while individual managers will be able to demonstrate their overall improvement to an allocator’s portfolio. Additionally, this unique approach encourages more fluid and effective Risk communication within the investment community and among industry participants.”

VisualVaR effectively demonstrates how every part of the portfolio contributes to (or hedges) the total risk; how a hypothetical investment would affect the risk profile of an existing portfolio; and how risks add in practice. This same approach can also be applied to three different types of stress tests including: stressing allocation, volatilities and correlations.

In sum, VisualVaR offers a compact way of communicating how risks add, how different parts of the portfolio interact, how much or little diversification is being achieved and how various stresses impact the risk of the portfolio. VisualVaR shows the amount of diversification and allows investment and financial professionals to communicate their risk more intuitively and effectively. To learn more, please download the VisualVaR White Paper at: http://info.investoranalytics.com/visualvar-whitepaperrequest.

Investor Analytics

Press Release

BM

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Greenlight Re CEO says hedge fund reinsurance strategy buzz is validating[more]

    From Artemis.bm: The attention being paid to the hedge fund reinsurance business model and the fact that others are now looking to leverage bits of it within their own strategies, is validating for reinsurer Greenlight Capital Re, according to CEO Bart Hedges. There has been an increasing buzz

  2. Legal - Hedge fund manager fights £8m tax tribunal ruling[more]

    From FT.com: A hedge fund manager who may have to repay £8m in tax is trying to overturn a tribunal ruling that found he had attempted to shelter millions in an avoidance scheme. Patrick Degorce, chief investment officer at Theleme Partners, lost a tax tribunal case last year. HM Revenue & Customs c

  3. Europe - Hedge funds face exit tax as Iceland central bank discusses plan[more]

    From Bloomberg.com: Hedge funds and other creditors with claims against Iceland’s failed banks face an exit tax as the island looks for ways to unwind capital controls without hurting the economy. The government targets having a plan it can present by year-end that would map out how Iceland will sca

  4. Investing - George Soros puts $500m of his money on Bill Gross, Soros, Paulson backed Hispania Activos mulls Realia takeover, Ex-Credit Suisse trader’s hedge fund sees yen shorts as crowded, Hedge hunters double default-swaps as views split, Large hedge fund positions come under pressure, Vikram Pandit's fund picks 50% stake in JM Financial's realty lending arm for $87m[more]

    George Soros puts $500m of his money on Bill Gross From WSJ.com: Before Bill Gross was fully settled in at his new firm, Janus Capital Group Inc., he received an unlikely visit from the chief investment officer of famed investor George Soros ’s firm, according to a person familiar with t

  5. Hedge fund Oceanwood raises $2bn, to close to new investors[more]

    From Reuters.com: Europe-focused hedge fund Oceanwood Capital Management is closing its fund to new investors after its assets under management hit $2 billion (1 billion pounds) recently, a source with direct knowledge of the matter said. Oceanwood, a multi-strategy hedge fund spinout from Tudor Gro