Portfolio Style, Factor, Performance & Risk Analytics
We use returns & holdings-based data, statistical and fundamental approaches to isolate drivers of your decisions, risk, style, performance and present intuitive insights to demonstrate your active advantage. Our returns and holdings-based approach covers a broad range of traditional and non-traditional asset classes as well as diverse instruments (Funds, SMA, ETF, ETP, LIC, Fund of Funds, Indices).
Factor Based Portfolio Construction & Optimisation
Our ability to combine proprietary, public, and third-party factor data across equities, bonds, real assets, and alternatives allows us to provide clients with portfolio construction and risk management insights using a factor-based framework. Our dual returns-based and holdings-based factor computations provide broad coverage as well as the daily, monthly frequency of factor data.
To explore our returns based factor analysis further, please access Foresight Interactive
Bespoke Modeling Solutions
- Capacity Analysis – Holdings-based analysis that estimates possible alpha decay from excess capacity or estimate threshold capacity of equities capacity (domestic and global)
- Portfolio Optimisation – Individual asset class or Multi-Asset Portfolio construction and optimisation using a factor-based framework and mean-variance framework.
- Behavioural Alpha Analysis– Using holdings and trade-based data to provide an alternative attribution system.
- Scenario-Based Portfolio Analysis – Using a returns-based and holdings-based framework to provide the impact of new investment allocation or shifts in existing asset/manager allocations.
- Portfolio Stress Testing – Providing portfolio stress testing across a range of economic and market events and scenarios. This work is compliant with APRA SPS 530 requirements for trustees.