FinAnalytica, the leading provider of multi-asset class, risk and predictive performance analytics solutions to investment managers, announced today the release of Cognity 4.3, its enhanced risk management and portfolio construction platform.
To meet the increased demand from investment professionals for sophisticated risk management capabilities, the new functionality in Cognity includes asset class coverage expansion for exotic FX options, enrichments to the optimization/asset allocation module for liabilities, increased user access to report customization, and user-defined scenario/stress testing workflow enhancements.
“We continue to be the only provider sophisticated enough to offer a solution that is capable of realistically estimating both the tail risk and tail return potential of assets and portfolios,” said David Merrill, CEO of FinAnalytica. “Clients have directed us to extend the functionality of Cognity in these specific areas, which indicates a greater demand from investment managers for robust risk capabilities.”
Additional features in Cognity 4.3 include:
- Fund Mixed Frequency Model Enhancements – Portfolio managers can now leverage the powerful new ability to update risk and return statistics for portfolios across a mix of daily and monthly frequencies. This is done using a mixed-frequency model of monthly fund (investments) returns, now with a factor model that updates on a daily basis. The new functionality allows for a more predictive risk analytics framework, as more frequent data updates and the ability to use more sophisticated modeling choices increase the influence and accuracy as the inputs evolve. Synchronization of daily data with end-of-month dependence and betas provide a more accurate picture over monthly periods rather than seeing statistics “jump” to catch up while preserving stable and consistent dependence structure among factors and funds. Clients were previously limited to only monthly updates on the funds models or apply infilling methods and, as a consequence, had less sophisticated model choices. With the new enhancements, our testing confirms that the mixed approach with evaluation of daily data points better predicts the likelihood of actual risk and return within the portfolio for the horizon being considered.
- Portfolio Optimization and Strategic Asset Allocation Enhancements – Users can now include liabilities and leverage from long and short positions in optimization calculations. The optimization capabilities have been further enhanced to better support strategic asset allocation tasks with support for longer horizons. Both the Optimizer and the Market Risk Module include enhanced UI support for the input of user-defined mean(s) forecasts. These may be at the horizon or at multiple points along the path.
- Scenario Testing Enhancements – Cognity now provides the ability to create reusable and unified scenarios across portfolios using the new predictive scenarios framework based on historical or user-defined stress tests, automatic scenario rules and the extended scenarios building engine. Scenario shocks can be applied with different priority through various types of dependencies, including customized dependencies.
- Expanded Coverage of Exotic FX Options – Cognity 4.3 also provides additional support for various instruments, including single and double barrier, up/down, knock-in/knock-out, digital, digital barrier, barrier and quanto types.
- Reporting Enhancements – Cognity 4.3 also further extends the reporting framework improvements made in Cognity 4.1. The goal is to satisfy customer requests for a Cognity reporting capability that allows for rapid customization of unique reports for external audiences. Further flexibility is added for the users to quickly create custom reports, taking advantage of a selection of pre-formatted and customizable templates.