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Portfolio Risk Analytics

Portfolio and Security Analytics for Multi-Asset Portfolios

Portfolio Insights

Real-time Risk, Performance & Accounting Business Intelligence Dashboard

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RISK ANALYTICS

Liquidity Analysis

Analyze portfolio to calculate key liquidity analytics.

Specifically we try to answer the following key portfolio liquidity questions:

  • How many days does it take to liquidiate the portfolio in current market conditions?
  • How long does it to take to liquidate each of the securities within the portfolio?
  • How many days does it take to liquidate the portfolio if market volume decreased by X% (say 25%)?

Overview

Portfolio Liquidity is a concern for investors specifically during volatile and stressed market situations.

It is important to understand how long it will take to liquididate not only at the portfolio level but also for securities within the portfolio.

In addition the ability to perform ‘What-If’ analysis for various liquidity assumptions will enable both investors and managers better manage the portfolio risk.

Key Features

Liquidity Days at both Portfolio and Security Level

 

 

Configurable 'Default' liquidity day setting for non-exchange traded assets

For Equities and other exchange traded instruments market provided traded volume data is used for liquidity days. However for asset classes such as swaps, alternate investments, etc configuration enables setting of default liquidity days based on managers experience.

'What-If' Liquidity Analysis

Perform real-time liquidity analysis by changing  of key liquidity configuration

Liquidity Analytics Screenshots

View configuration and result screens for Liquidity Analytics

Liquidity Analytics Demo

Demo of configuration and results for Liquidity Analytics

FAQ

Here are some answers to Frequently Asked Questions.

What parameters can be configured for Liquidity Analytics?

Fund Remption (in %) and Market Volume (in %)

Can we run Liquidity calculations in real-time?

All risk calculations can be run by users using user interface and calculation  results can be viewed using web user interface.

Calculations are not batched and are run as and when requests are made.

System scales the number of engines required dynamically as volume of requests increase and the number of engines are brought down if no requests are pending thus enabling pay-per-use business model.

Can we also run 'What-If' Liquidity Analysis in real-time?

Yes.

Similar to all other risk calculations the What-If calculations can be performed real-time without affecting the portfolio

There is no need to batch the requests or setup variables ahead of time.

All the analysis can be peerformed using the same user interface and results thus calculated will show details for both the original values and the new ‘what-If’ scenario values.

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