Trust isn’t a word you hear in financial services that much anymore, and StatPro thinks that needs to change. Our approach is to earn our clients’ trust through true partnership – one in which each firm helps the other achieve their strategic goals.
While everyone’s talking about transparency, we at StatPro practice what we preach. As part of providing a wide array of risk analyses for your portfolio, we show you the accuracy of these analyses and provides details in methodology and data so you can gain comfort the best way: through verification. The result is that you always know what tools and data are used to calculate your portfolio's risk profile. Our approach to risk analysis is based on two fundamental methodologies:
For example, the chart below demonstrates the back testing of StatPro Revolution Alpha's daily VaR during the height of the financial crisis, showing that the 95% VaR was exceeded 15 out of 252 trading days, or 5.8% of the time. This is why clients trust our analytics.
Daily Returns (green bars) and daily VaR (red line) shown for an actual portfolio for all of 2008. This graph shows that for this portfolio, Revolution Alpha's 95% VaR model does very well on back testing - with 15 exceptions out of 252 trading days, equivalent to 5.8%.
A partnership approach offers significant benefits and in practice means several things:
StatPro offers specialized services for a variety of investors, managers and asset owners.
Investor Analytics and BNY Mellon released a Thought Leadership Series White Paper entitled "Tomorrow's Risk Management, how behavioral economics, cognitive studies, and complexity science add up to more than their own sum," which presents specific ways practitioners can significantly improve their risk management function.
One of the most amazing things I was taught by a college physics professor was to think of time flowing "backwards."