R-Squared Debuts Portfolio Risk Tools

The risk management firm has released R-Squared Risk Solutions, tools to manage and forecast portfolio risk.

The tools combine R-Squared’s range of equity risk models with PRISM, the firm’s proprietary Portfolio Risk Management and risk-adjusted Performance Attribution system. The new risk models incorporate the most recent techniques of the principals of R-Square Risk Management for minimizing estimation error and generating better portfolio risk forecasts.

A variety of geographic regions are covered, including Europe, the U.S., global developed markets and global emerging markets, and are available in different base currencies.

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Portfolio managers can use these models to distinguish their deliberate factor tilts from any unintended risks in their portfolios, according to Jason MacQueen, founder of R-Squared Risk Management Ltd. “They can also be used to determine the sensitivity of their portfolios to a wide variety of macroeconomic variables and currency risks,” he said. “By including a small number of statistical factors, we ensure that there is no missing systematic risk, thereby giving managers more accurate forecasts of portfolio risk and tracking error.”

The R-Squared Risk Solutions provide a standard set of Risk Reports, which can be customized to highlight the more relevant results for managers and investors, including a summary, portfolio risk decomposition by holdings and portfolio risk decomposition by factors. Users can run risk-adjusted performance attribution analyses to identify consistent sources of performance in their portfolios over time, and may also identify the number and size of the truly Independent bets in a portfolio.

The goal of R-Squared is to help managers improve investment performance by ensuring that their portfolio selection skills are harnessed efficiently by aligning risk with expected return and eliminating unwanted risk.

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