07 Apr 11 StatPro’s Complex Asset Pricing Service Sets Industry Standard for Transparency
StatPro sets industry standard for transparency with the addition of expanded fixed income coverage; clean and dirty bond prices; risk numbers and Greeks into their complex asset pricing service (CAP). Investment Professionals now have a solution for reducing their exposure to valuation risk with StatPro’s Independent Valuation Service.
Boston, MA (April 07, 2011) – StatPro Inc, is pleased to announce that their Complex Asset Pricing (CAP) service has achieved a major product milestone with the incorporation of traditional and liquidity risk numbers, clean and dirty pricing and Greeks into the service. StatPro’s CAP service is a web based application that values a wide range of illiquid assets including hard to price fixed income instruments such as European ABS and MBS, Credit-Linked Notes, credit default swaps, interest rate swaps and a range of other OTC Derivative instruments. The independent valuation service also offers three levels of service for price challenge
Marking a major breakthrough in the development of StatPro’s CAP asset pricing service, the enhanced version draws on StatPro’s independent valuation data, which gives StatPro customers a transparent view of the numbers behind the models they build to create complex securities.
“The new compliance culture in asset management demands sophisticated but easy-to-use tools that support transparency and accuracy in pricing and risk data,” said StatPro, Inc. CEO Andrew Peddar. “Launching the improved CAP service provides our back office clients with the tools and information that they need when valuing such complex assets. Our goal is to enable our clients, regardless of their investment strategy, to pursue diversification while remaining transparent and complying with evolving regulatory guidelines.”
Defining risk exposure in a given day has historically been managed by sophisticated systems that require installation, maintenance and on-site expertise. The CAP service eliminates the need for costly, involved software implementation by integrating single asset level risk figures delivered through a web based tool – requiring very little installation time and maintenance.
The inclusion of both clean and dirty prices provides asset managers the ability to distinguish between capital earnings (coming from the clean price of a bond) and the interest earnings (coming from the coupon accruals) both for bonds and derivative instruments, providing a more holistic approach to valuation. Finally, by providing a full range of Greek information around a security helps StatPro clients to determine the sensitivity to market conditions and is required information for risk departments.
About StatPro
StatPro is a leading provider of portfolio analysis and asset valuation services for the global asset management industry. The Company sells a SaaS-based data and analytics platform on a rental basis to investment management companies allowing them to analyze portfolio performance, attribution, risk and GIPS® compliance. StatPro also provides market data and valuation feeds including a Complex Asset Pricing service. For more information on StatPro, please visit our website at http://www.statpro.com
Tags: analytics platform, Asset pricing, asset valuation services
02 Dec 10 StatPro Signs New Customer Contracts in North America, Europe and Asia
StatPro Group, a leading provider of portfolio analysis and asset valuation services for the global investment management industry, today announced that it has signed new multi-year contracts with several customers in North America, Europe and Asia. The new customer contracts include a variety of StatPro products, including the StatPro Seven portfolio analytics platform and the company’s evaluated pricing services.
The contracts were signed with TCW, State Street Global Advisors, Indus Capital Management, PIMCO, Horizon Asset Management and BofA Merrill Lynch in North America; Adepa, Banco Finat, Bank of Ireland, Barclays Capital, CACEIS, NGAI, Polar Capital, SIA SSB, Royal Mail, River and Mercantile Asset Management and Liverpool Victoria Asset Management in Europe; Nedbank in Africa and a major asset manager in Singapore. These contracts support StatPro’s business objectives for the year and add to the Group’s high levels of recurring revenue under contract.
“StatPro’s integrated product strategy and SaaS delivery model offers a wide range of functionality to help customers meet the ongoing challenges of portfolio analysis,” said Mark Bramley, CEO of StatPro North America. “Our SaaS model allows customers to benefit from faster, easier system updates, improved service and reduced costs.”
Media Contacts
Karleen Fallon
+1 617-692-1140
Jeanine Leuckel
+44 20 8410 8655
info@statpro.com
About StatPro
StatPro is a leading provider of portfolio analysis and asset valuation services for the global asset management industry. The company sells a SaaS-based analytics and data platform on a rental basis to investment management companies allowing them to analyze portfolio performance, attribution, risk and GIPS® compliance. StatPro also provides an asset pricing service including a service to price complex assets and valuation feeds.
For more information on StatPro, please visit http://www.statpro.com
Tags: Asset pricing, asset valuation services, Portfolio Analysis, Risk Management Software
26 Oct 10 StatPro discovers solution to the liquidity risk paradox
StatPro Group plc, a leading provider of portfolio analytics and asset valuation services for the global asset management industry, announces a major breakthrough in its risk measurement research.
StatPro has designed an innovative approach to measuring market liquidity risk that does not rely only on observed bid, ask and volumes. Instead, factors such as market capitalisation, the percentage of ownership of a stock and the size of an issue for a fixed income instrument are taken into account.
Liquidity risk refers to the risk of losing money when you suddenly liquidate one or more positions in your portfolio. The loss comes from selling the positions at a lower price than the one at which those positions are marked-to-market.
“While innovations in the area of market risk have been very active in recent years – for example, introducing the concept of Value at Risk – little exists on liquidity risk. The reason is that while measuring market risk you can create models that are calibrated with market data, you cannot do the same for liquidity risk,” said Dario Cintioli, Global Head of Risk of StatPro.
“In calibrating a liquidity risk model you need access to the bid, ask and volume information. Well, the problem is that this information is only available for liquid issues. Whatever model you invent, you will always lack the basic information to calibrate it for the instruments that present most of your liquidity risk. We call this the ‘liquidity risk paradox’.
StatPro’s software facilitates the selection of the appropriate liquidity risk scenario and the computation of the expected loss for liquidity risk. The view includes a breakdown of the liquidity risk loss across various components.
The user can select one scenario and build a ‘tree’ of criteria for breaking down the liquidity risk contribution at each hierarchy level, down to single asset composition. The risk manager can drill down through every component of liquidity risk, discovering how much is coming and from where, without any previous knowledge of the portfolio. This tool enables the risk manager to ‘X-ray’ the liquidity risk of the portfolio, spotting any challenging situations.
“We have solved the paradox of measuring market liquidity risk when trading volume and market price information is not available. As with all our risk analyses, liquidity risk can be run at single asset level, portfolio level, portfolio versus benchmark and as an aggregation of several portfolios. The latter option is critical to liquidity risk, as the percentage of ownership of one stock can be negligible when measured by portfolio, but can become relevant at ‘firm’ level,” concludes Cintioli.
For further information please contact:
Jeanine Leuckel, StatPro
Tel: 020 8410 8655
Email: jeanine.leuckel@statpro.com
Fabienne Pasquion, Ascension Consulting
Tel: 020 7100 6111 / 07984 119846
Email: fabienne@ascensionconsulting.co.uk
Notes to Editors
Dario Cintioli is available for interview upon request.
About StatPro
StatPro is a leading provider of portfolio analysis and asset valuation services for the global asset management industry. The company sells a SaaS-based analytics and data platform on a rental basis to investment management companies allowing them to analyse portfolio performance, attribution, risk and GIPS® compliance. StatPro also provides an asset pricing service including a service to price complex assets and valuation feeds.
For more information on StatPro, please visit our website at http://www.statpro.com
11 Oct 10 Nedbank selects StatPro for portfolio analytics suite
London/Cape Town, 11 October 2010 – StatPro Group plc, a leading provider of portfolio analysis and asset valuation services for the global asset management industry, today announces that the South African custodian division of Nedbank has committed to the new StatPro Seven analytics platform.
Nedbank, the fourth largest bank in South Africa, has signed for StatPro Seven Performance, Attribution, Fixed Income, Compliance and Analytics Reporting modules plus Index Data services.
“This deal stemmed from Nedbank’s strategy of providing in depth analytical data to its clients, backed up by a scalable solution capable of managing the anticipated growth. StatPro already has an excellent reputation in the region and a thorough understanding of the local market requirements,” said Robin Kemper, CEO, StatPro South Africa. “This agreement takes us one step closer towards our aim of creating a single analytics data standard in South Africa.”
Deployment of the system will begin in October 2010.
Louise Currie, General Manager at Nedbank: “This implementation will provide us with full performance, attribution and compliance functionality that we can manage and pass on to our clients in a scalable manner, whilst ensuring that industry standards are not only met but exceeded. In keeping with the requirements of the local market, we are keen to implement StatPro Portfolio Compliance – recognised as the market leader in South Africa.”
For further information please contact:
Jeanine Leuckel, StatPro
Tel: 020 8410 8655
Email: jeanine.leuckel@statpro.com
Fabienne Pasquion, Ascension Consulting
Tel: 020 7100 6111 / 07984 119846
Email: fabienne@ascensionconsulting.co.uk
Notes to Editors
Robin Kemper is available for interview upon request.
About StatPro
StatPro is a leading provider of portfolio analytics and asset valuation solutions for the global asset management industry. The Company sells a SaaS-based Analytics and Data platform on a rental basis to investment management companies allowing them to analyse portfolio performance, attribution, risk and GIPS® compliance. StatPro also provides an asset pricing service including a service to price complex assets and valuation feeds.
For more information on StatPro, please visit our website at http://www.statpro.com
05 Oct 10 StatPro Revolution launch given boost from global custodian
London, 5 October 2010 – StatPro Group plc, a leading provider of portfolio analytics and asset pricing services for the global investment management industry, is pleased to announce that StatPro Revolution, a Software as a Service solution in its pilot phase, has been given a major boost by the news that a global custodian bank has just contracted to integrate its client data with Revolution, following a successful feasibility study.
Revolution is an online portfolio analysis service offering performance, attribution, risk and reporting for portfolio managers all around the world, but at a fraction of the price of traditional software only solutions.
The custodian aims to offer all of its own clients easy access to the most sophisticated portfolio analysis and reporting using Revolution. The technology used means that integration can happen in a matter of months, so the benefits will be available to all of the custodian’s clients from the New Year – thus giving them a significant commercial advantage over their competitors.
Today’s launch of phase two of the public beta enables trial account users to upload holdings files to the system within seconds. There is also a new dashboard perspective, where users can see a complete picture of their portfolio asset allocation, risk performance and attribution at a glance. Clients can also produce stunning reports of detailed analysis in a variety of formats in seconds, dramatically reducing production times.
“For the first time asset managers or pension funds can gain access to the most sophisticated analysis from as little as $100 per month. Technology that used to cost hundreds of thousands of dollars or more is now available to all professionals,” said Justin Wheatley, CEO of StatPro Group plc. “This will create a level playing field and allow nimble smaller players to show off how they can add value to their clients. For the bigger players, Revolution will enable them to disseminate information efficiently and cost effectively to all their staff – improving communication and transparency.”
About Revolution
Software as a Service technologies are transforming whole sectors across the business world and portfolio analytics is no exception. StatPro is the first company to offer a genuine SaaS solution that integrates data and software as a service for portfolio analysis. StatPro Revolution is an open platform with a toolkit for integration with third party solutions. The key objective is to offer an outstanding service and equal service to fund managers of all sizes at affordable prices.
For $100 per portfolio per month, Revolution includes risk management software, attribution, performance and reporting as well as unrestricted access to StatPro’s data universe of more than 500,000 securities and 9000 benchmarks. This fee also includes access to an unlimited amount of report generation and unlimited amount of data imports.
To see StatPro Revolution and to sign up for a free trial account go to http://www.statpro.com
About StatPro
StatPro is a leading provider of portfolio analytics and data solutions for the global asset management industry. The Company sells a SaaS-based Analytics and Data platform on a rental basis to investment management companies allowing them to analyse portfolio performance, attribution, risk and GIPS® compliance. StatPro also provides market data and valuation feeds including a complex asset pricing service.
For further information please contact:
Jeanine Leuckel, StatPro
Tel: 020 8410 8655
Email: jeanine.leuckel@statpro.com
Fabienne Pasquion, Ascension Consulting
Tel: 020 7100 6111 / 07984 119846
Email: fabienne@ascensionconsulting.co.uk
Tags: Asset pricing, Portfolio Analysis, Risk Management Software
30 Sep 10 StatPro achieves GIPS® compliance milestone
London/Boston 29 September 2010 – StatPro Group plc, a global provider of portfolio analysis and composites reporting solutions for investment professionals, today announces that the company has reached the milestone of the 500th GIPS® compliance verification.
StatPro’s Composites module – a multi-currency tool for composite and account reporting to achieve and maintain GIPS compliance – has been adopted by asset managers, insurers, hedge funds and private banks worldwide. Current users of the company’s composite solution include Aviva Investors, F&C Asset Management, Nomura Asset Management, Federated Investors, State Street, TCW and Manulife.
Chairman of StatPro Group plc and founder member of both, the Investment Performance Council and GIPS®, Carl Bacon said: “We are very proud to have reached this important milestone. Our first verification was achieved in 1998 and over the past decade StatPro has clearly become the largest provider of composites tools. We are a reliable partner for investment managers of any size wanting to achieve and maintain GIPS® compliance.”
StatPro has over one hundred small, medium and large money manager clients globally with assets under management (AUM) totaling US$ 25 trillion using their Composites module to produce GIPS compliant reporting. These reports cover 705,000 portfolios across 36,600 composites.
About StatPro:
StatPro Group is a leading global provider of portfolio analytics and asset pricing for the worldwide investment community. Founded in 1994, StatPro offers portfolio analytics software combined with pre-packaged evaluation services using the Software as a Service (SaaS) platform. The company’s integrated solutions provide performance measurement, attribution analysis, risk management, governance, compliance and reporting – all in a single interface. More than 250 major asset managers worldwide utilize StatPro solutions.
Tags: Asset pricing, GIPS compliance, Portfolio Analysis, Portfolio analytics
16 Sep 10 StatPro Evaluated Pricing Service Selected by BofA Merrill Lynch Global Research
StatPro, Inc., a global provider of portfolio analysis software and asset valuations, today announced that it will become the primary independent provider of evaluated pricing for BofA Merrill Lynch Global Research Bond Indices for Canada, Mexico and Brazil.
StatPro’s fixed income methodologies incorporate bond terms and conditions, proprietary pricing models and real-time quotes from contributing dealers. StatPro uses fair market value assessments in accordance with accounting guidelines such as FAS 157 to provide valuations consistent with industry standards.
“We are very pleased with BofA Merrill Lynch Global Research’s decision to use StatPro as the primary price provider for Canada, Mexico and Brazil. Our independent valuations will provide the on-demand delivery and transparency needed to meet investor requirements,” said Mark Bramley, CEO of StatPro North America. “We believe that BofA Merrill Lynch Global Research will benefit not only from our superior fixed income valuation service but also from our commitment to providing excellent customer care.”
About StatPro
StatPro Inc. is a leading global provider of asset management software for the worldwide investment community. Founded in 1994, StatPro offers portfolio analysis software combined with pre-packaged evaluation service using the Software as a Service (SaaS) platform. StatPro’s Unlimited Pricing service incorporates reference data, corporate actions and industry classification codes, asset pricing, bond pricing and an index data service. The company’s integrated analytics solutions provide performance measurement, attribution analysis, risk management software, governance, compliance and reporting – all in a single interface. More than 250 major asset managers worldwide utilize StatPro solutions. StatPro Inc. is headquartered in Boston and is a division of StatPro Group PLC (AIM: SOG).
Tags: Asset pricing, Asset Valuation, bond pricing, performance measurement, Portfolio Analysis, Portfolio analytics, Risk Management Software
24 Aug 10 The New Regulatory Focus on Liquidity Risk: Problems and Solutions
The credit crisis has been accompanied by a contextual reduction of liquidity in all asset classes. For certain asset classes like ABSs liquidity has entirely disappeared, but even for popular instruments like convertible bonds and corporate bonds the destruction of market depth has been severe.
The loss of liquidity was not contemplated at all in the risk management models used across the industry, with the consequent increase of model back-testing failures. To give an idea of the impact of the liquidity component in these failures, we have observed in convertible bond portfolios three times the failures experienced by equivalent equity portfolios. The differential was entirely explained by the loss of liquidity in the convertible bond market, a market dominated by hedge funds that had to de-leverage their portfolios suddenly and all at once.
The combination of these events and the discovery that many monetary funds were investing relevant portions of their assets into illiquid instruments, such as ABSs, has increased the focus of regulators on Liquidity Risk.
Where the asset management industry is concerned, the most evident outcome of this new focus is reflected into the recent CESR recommendation for UCITS IV regulation (CESR/09-963, 28 October 2009). In this paper the CESR recommends the introduction of an ad hoc liquidity risk management process. Liquidity risk must be “…appropriately assessed, managed and monitored overtime” for all the UCITS.
The recommended prescription is reinforced by the following article, where the regulator requires that management companies perform stress tests and scenario analyses to measure the impact of potential liquidity crises, similarly to what is done under current legislation for stress tests on market risks.
The introduction of Liquidity Risk is the biggest surprise of UCITS IV according to many practitioners, even if this recommendation has been preceded by similar initiatives by the FSA in the banking regulation and by the Italian Consob for illiquid instruments marketed to individuals, under the MIFID hat.
The surprise comes along with worries and unresolved questions on the implementation of these new rules and liquidity risk procedures. Market Liquidity Risk is still a gray area in the risk management research. In the remainder of the article we try to define market liquidity risk, explain where the implementation problems come from and propose a possible solution.
Market Liquidity Risk is the risk of losing a certain amount of money when we liquidate the positions held in a portfolio/fund. Assume for a moment that we can observe bid and asks for all the instruments that we hold in our portfolio, and that the size of these proposals is consistent with the quantities that we hold. Assume also that we are revaluing our portfolio using mid prices.
In this case the market liquidity risk is simply the cost of liquidating our portfolio at the observed bids (and asks for short positions), as measured by the distance between mid price and bid (or ask).
It may be easy to compute this loss for an equity portfolio, where bid/asks and volumes are available, both in normal and stressed times. It becomes much tougher to follow this approach when the assets held in the portfolio are bonds, illiquid bonds, OTC derivatives and the plethora of opaque financial instruments that can be found in abundance in many mutual funds.
We call this the Liquidity Risk Paradox: the information for calibrating liquidity risk models is available only for liquid instruments. In other words, we will never find the data that we need on illiquid instruments, where most of the Liquidity Risk actually lies.
For a long time it seemed that the problem did not have a solution and this explains in part why the risk management industry has never implemented a universal solution for measuring and managing market liquidity risk across all financial instruments, from equities to OTC derivatives, to illiquid bonds.
However, current technology and availability of data allows imagining new solutions. We have recently finalized one year of research and development for developing a new approach to liquidity risk.
The approach replicates the way market makers create the bid and ask of an illiquid product: they introduce in the pricing function of an instrument the bid and ask of the OTC derivatives that will be used to hedge the position, obtaining the equivalent bid/ask of the instrument.
The approach can be used for any financial instrument that links a pricing function to traded OTC derivatives, enlarging dramatically the set of instruments for which Liquidity Risk is computable, including opaque assets for which no price and volume information is available.
About Statpro:
Dario Cintioli wrote this article on 03-12-2009, he is the Global Head of Risk Management and Complex Pricing at StatPro, a leading provider of portfolio analytics, data solutions, asset pricing services and risk management software for the global asset management industry.
Tags: Asset pricing, Asset Valuation, Bond Prices, Portfolio Analysis, Risk management, Risk Management Software
06 Aug 10 StatPro Unveils Revolution Portfolio Analytics Service for Public Beta
New front-office web-based offering combines ease-of-use, integrated data & analytics and flexible pricing; Saves time and money by simplifying portfolio analysis and reporting
London/Boston – August, 2010 – StatPro Group, a global provider of portfolio analysis and asset valuation software for investment professionals, today announced that StatPro Revolution is available for public beta. Revolution provides secure, online, access to market data, portfolio analysis and reporting from a single web platform. The public beta release gives access to a collection of powerful and visual analysis features including performance, attribution, allocation and risk. Front office financial executives as well as research, reporting and client service professionals will benefit from the ease-of-use, ease-of-implementation, consistency of analysis and cost efficiency that Revolution enables. To sign up for a free user account visit www.statpro.com/revolution.
StatPro Revolution allows users to import performance data from the middle office and provides a wealth of analysis and reporting functionality to any other area of the business – all using the same underlying data. StatPro Revolution can also be used as a stand-alone analysis, reporting and research platform, by taking advantage of the built-in pricing and benchmarking service. Over 500,000 securities and 11,000 benchmarks are available allowing instant portfolio analysis by importing simple holdings data.
Justin Wheatley, StatPro CEO commented, “StatPro Revolution provides technology that will allow managers of all sizes to add incredible value to their front office portfolio analysis process. We believe StatPro is the right solution at the right time for our market. We have seen huge interest in our initial trials and are already working with a major global custodian bank to deploy this service to their clients.”
Revolution is a turn-key, software as a service (SaaS) solution that is delivered with integrated data and analytics. This single-point approach can provide more consistency in analysis when compared to multi-system scenarios involving different vendors. Also, because portfolio information only needs to be entered one time, Revolution is faster and easier to implement than multi-vendor solutions.
Revolution is priced from $100 per portfolio per month, providing outstanding monetary value for small, medium and large asset managers alike. The full launch of StatPro Revolution is scheduled for January 2011.
Notes to editors:
Justin Wheatley is available for interviews upon request
Media Contact:
Karleen Fallon / Jeanine Leuckel
marketing@statpro.com
About StatPro
StatPro Group is a leading global provider of portfolio analytics and asset pricing services for the worldwide investment community. Founded in 1994, StatPro offers portfolio analytics software combined with pre-packaged evaluation services using the Software as a Service (SaaS) platform. The company’s integrated solutions provide performance measurement, attribution analysis, risk management, governance, compliance and reporting – all in a single interface. More than 250 major asset managers worldwide utilize StatPro solutions.
Tags: Asset pricing, Asset Valuation, Portfolio Analysis, Portfolio analytics, StatPro Revolution
