Products Comparison
Tungsten risk is available in two formats, a basic version via Tradar PMS and the more comprehensive Tungsten Sabre
| Portfolio Metrics |  |
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| Monte Carlo VAR Generates random market scenarios drawn from a multivariate distribution. Excellent at capturing risk of non-linear portfolios. Now with ability to chose distribution assumptions. |
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| Draw Down The difference between peak and trough of the cumulative P&L time series for the period selected. |
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| Forecast Volatility Forecast volatility is the annualised forecast standard deviation of your risk buckets and total portfolio. |
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| Kurtosis A measure of the peakedness of the realised return distribution. A high value indicates that more of the return variance is the result of infrequent extreme deviation. Also referred to as the fourth standardized moment. A Gaussian distribution has a kurtosis of 0. |
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| Liqudity Analysis A measure of the amount of days to close out the entire portfolio. |
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| Marginal VAR The change in VaR if the risk bucket is removed from the portfolio, a negative number implies that the risk bucket reduces the risk of the overall portfolio by that amount. |
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| Portfolio Correlation The Pearson correlation coefficient measures the correlation between the total portfolio and each risk bucket (depending on the grouping used). Calculations based off the realised P&L time series using daily, weekly or monthly returns. |
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| Realised Volatility The realised or actual volatility is the annualized one standard deviation of the total portfolio. |
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| Sharpe A measure of reward to risk ratio, also referred to as excess return of your total portfolio to risk free rate. |
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| Skew A measure of the asymmetry of the return distribution. Calculated using the realised P&L returns. Also referred to as the third standardized moment. A negative skew tells us that there are more negative returns than positive, i.e. the negative tail is larger than the positive and vice versa. |
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| Sortino Similar to Sharpe ratio but using downside deviation only. |
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| Beta A measure of the relation of the strategy against a benchmark index such as S&P 500. Cov(rtrn (portfolio),rtrn(index))/Var(rtrn(index)). |
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| Downside Risk One standard deviation of negative returns using the realised P&L time series of your portfolio (strategy), dependent on grouping used using daily,weekly or monthly return frequencies. |
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| Expected Shortfall A measure of the tail risk of a portfolio on the x% worst possible outcomes - calculation based off the return distribution from historical simulation. Sometimes referred to as CVaR. |
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| Historical VAR Value At Risk calculated using historical simulation on daily, weekly or monthly returns. Generates a return distribution that is used to estimate the Value At Risk at the x% percentile. |
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| Information Ratio A measure of alpha for a portfolio - the geometric information ratio (GIR) is using the geometric average return instead of average return. An excellent overview of the concept of this metric can be found here: http://www.automated-trading-system.com/geometric-information-ratio/ |
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| Benchmark correlation The correlation of a portfolio against a benchmark index such as S&P 500. Tungsten has a large universe of indexes right out of the box. |
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| Sigma Event A metric explaining how many standard deviations the daily/weekly or monthly return represents given the previous period forecast risk. The metric is available on all grouping levels. |
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| Ulcer Index A metric explaining how often a portfolio has been in a draw down. Higher values would indicate a stressful investment/strategy. |
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| Hybrid HistoricalVAR Similar to Historical Simulation, however asset returns can be weighted giving more importance to recent returns yielding a model that reacts quicker to changing market environments. |
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| Parametric VAR Delta-Gamma variance co-variance VaR using daily/weekly and monhtly asset returns. |
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| Option Greeks The comprehensive option analytics library allows you to select model engine such as BjerksundStensland,
BlackScholes,CoxRossRubinstein,JarrowRudd,
Trigeorgis,Tian,LeisenReimer,Joshi,CrankNicolson,
MonteCarlo,FastFourierTransform |
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| OTC Pricing The Tungsten analytics library also allow you to price your OTC positions for your daily NAV and P&L |
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| The greeks The option analytics engine calculates; price, delta, gamma, vega, implied volatility, rho and theta. |
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| Functionalities | |
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SaaS |
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| Exposure Analysis Slice and dice exposures of your portfolio. Dynamic limit management from exposure/PL and VAR views are only available in Sabre. |
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| Browser UI Tungsten is available at your fingertips. Use any MAC, PC on any browser at home, work or on the road, to securely login and monitor your risks. |
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| Dynamic NAV Management With Tungsten Sabre you can assign assets to any parts of your portfolio. Assume you run a $100M fund and your investment committee has decided to allocate the assets as follows; 20% macro, 50% CB arb and 30% EQ Pairs. With the dynamic NAV manager you would setup filters for each category using any of the available filtering criteria and then assign the assets accordingly - thus allowing you to ensure your PMs take enough risk and hit their target returns based on their allocated assets. |
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| Dynamic PL Range With Tungsten Sabre you can chose from a wide array of pre-defined values such as MTD,YTD,QTD,6M or even specific dates to base your analysis on. |
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| Dynamic Portfolio Create your own dynamic portfolio filters, e.g. you can create a dynamic portfolio named "Tungsten" that has the following filter: fund=Lodestar and trader=Adam. Could be used in conjunction with the dynamic NAV manager. |
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| Index Manager Tungsten Sabre comes with a large database of indexes right out the box. These are updated automatically on a daily basis. The index data is collected from a number of free sources specifically Yahoo and Google Finance. It is possible to add your specific index data if you so wish. |
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| Position Level Risk Attribution Tungsten Sabre allows you to drill trough your portfolios from fund level right down to position level, thus allowing you to understand your risk and performance better |
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| Historic Price Manager Tungsten Sabre is by default setup to use the historic prices as available in the EzeSoft PMA database. Alternatively you hook up your Tungsten implementation to our comprehensive Lodestar security master database. These prices are used as a basis for risk computations. |
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| Return Frequency All risk metrics can be calculated using three different sampling frequencies - daily, weekly and monthly. Tungsten Sabre is defaulted to use daily frequency for all computations. |
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| Risk Limit Management Tungsten Sabre has an advanced risk limit manager, allowing you to monitor risk limits as defined in your risk guidelines. |
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| Stress/Scenario Analysis With the scenario analyser you can analyse portfolio changes by running your portfolios through different scenarios. You can use predictive or non-predictive risk factor shocks. With the stress tester you can shock the sensitivities of your positions. |
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| Time Series Extract If Tungsten Sabre is not giving you enough risk metrics or enough awesome charts, why not take the time series and create something equally awesome in Excel using the Tungsten time series tool. Extractable time series: P&L, Exposures, ValueAtRisk - using any of the samplings (frequencies). |
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| VAR Model Backtest How can you tell if your Value At Risk model is predicting your risk properly? The most powerful way to get a feel for this is to use the VaR6 backtesting tool that simply shows the actual P&L returns versus the risk forecast. You know that your 95% confidence allows for excesses to arrive roughly one day out of 20. |
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| Reporting With Tungsten Sabre risk module you will use the award winning Insight reporting system to generate your investor reports. With Tungsten Sabre we offer a reporting engine that is equally intuitive and easy to use. Simply create a view containing your favorite risk metrics, assign who is allowed to see the reports, and schdeule it to be delivered to your email in any of the popular formats such as HTML/PDF. The key is that it is easy to setup and automate, that is what you want, no fuss. |
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| Flexible VAR Modeling The Tungsten VAR models are extremely flexible allowing you to adjust a multitude of parameters including model type, sampling size and frequency, decay style, distribution assumptions and freeze date range. Throw in the ability to use your own sourced data series or the hosted Lodestar data, allows you to tweak your VAR output exactly to your specifications. |
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| Assets Supported (Risk) | |
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| Currencies Our risk models can forecast the risk of your traded currency positions. |
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| Equity/Indexes/Futures As long as we have a price series for your equity, indexes and futures our risk models are able to predict the risk of your portfolio. If nothing is avaible for one of your private investments, setup a proxy with a close enough variance as your private investment and you are all set. |
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| Commodities Are you long gold? No problem our risk models can handle commodities as well. |
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| Derivatives Any derivatives of the above including credit and fixed income (CDS, CDS options, corporate/convertible bonds and Interest Rate Swaps) are supported. All we ask is for you to define the derivatives correctly in EzeSoft PMA and in particular pointing the derivative to the underlying asset so we have some data to work with. |
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| Multi Assets The Tungsten risk system has support for all asset classes that EzeSoft PMA support, i.e. you can create anything you want in EzeSoft PMA and we will pick it up. We do ask you to price your assets on a daily basis as accurately as possible so we can generate an accurate risk analysis. |
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| Hosted Prices | |
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| Lodestar Hosted Price Service If you do not have the resources to maintain a historic price database of your assets you can let us do it for you via our Lodestar Historic security mater database. We support Global Equities, Currencies, Fixed Income, Commodities and certain corporates. |
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| Custom Indexes WIth our hosted pricing service we are also able to setup custom indexes of your specification, feeding into your portfolio on a daily basis. |
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| White Glove Service Our white glove pricing service means that you just hook your Tungsten server up to the Lodestar security master and Lodestar will ensure all your positions are mapped on a daily basis (including backfilling any amount of data you wish). |
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