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What's New: March 2010 New Global Single Stock Futures Markets The popularity of Single Stock Futures (SSF's) has increased dramatically over the last few years. To meet this trend, the RiskAPI system now includes as part of our Global Futures Package, both newly added market coverage and a new symbology to accommodate SSF contracts. We are pleased to release our global SSF symbol scheme. Markets currently covered under this package are:
All new markets are available at no extra cost to users of our Global Futures Package. For more information on this or any other RiskAPI feature, please contact us at sales@portfolioscience.com or support@portfolioscience.com (must be a current user).
What's New: January 2009
User-Defined Volatility For Options The RiskAPI system has always allowed volatility values to be passed into option pricing functions, as well
as option sensitivity functions (i.e. delta, gamma, theta, vega, rho). However, a feature thus-far unavailable
has been the ability to specify user-defined volatility inputs for options positions in all other
RiskAPI functions (such as VaR).
Now, we are pleased to introduce an alternative option symbology which enables individual volatility values to
be specified for each option position. This new symbology has resulted in additional symbol schemes available
for options on each asset class:
The upshot of this new capability is that any RiskAPI calculation can be applied to a position or a
portfolio of option positions, with user-specified volatilities embedded in each option symbol. Further,
by altering the inputted volatilities, simulations can be done using, for example VaR, both on a
position and portfolio basis, looking at multiple volatility assumptions. A detailed description of this
functionality is available on our respective product support sites.
For more information on this or any other RiskAPI feature, please contact us at sales@portfolioscience.com or support@portfolioscience.com (must be a current user).
What's New: December 2008
Semi-Deviation Calculation Newly added to the RiskAPI System is a semi-deviation calculation. Similar to the already present volatility
feature, semi deviation employs standard deviation of lognormal returns and
allows users to filter out returns based on boundary conditions. One common use of semi-deviation is to
calculate the standard deviation of losses, for example.
This results in a standard deviation result that is based
solely on negative returns. However, since the semi-deviation calculation is general, it can
be used to generate a standard deviation of only positive returns as well. In this manner, a
comparison between gain deviation and loss deviation can be made.
For more information on this or any other RiskAPI feature, please contact us at sales@portfolioscience.com or support@portfolioscience.com (must be a current user).
What's New: November 2008
Synthetic ETF's For Add-In Users By popular demand, the synthetic ETF aggregation feature, previously available to only RiskAPI
Enterprise users, has been made available via the RiskAPI Add-In. This new feature can now
be reached via the simple graphical interface RiskAPI Add-In users are familiar with.
As with the Register Basket capability in the Enterprise client, the RiskAPI Add-In Register Basket
feature simplifies the process of analyzing multiple tradable baskets. Now, rather than having to access
and include all basket sub-components, users can simply assign a symbol to each basket and input this assigned
symbol into any RiskAPI calculation. This functionality becomes more crucial for users dealing with multiple
synthetic ETF's.
For more information on this or any other RiskAPI feature, please contact us at sales@portfolioscience.com or support@portfolioscience.com (must be a current user).
What's New: July 2008
Synthetic ETF's Newly released for RiskAPI Enterprise users: a synthetic ETF aggregation and analysis capability. Execution
brokers have started making available the ability for their clients to trade custom baskets of individual equities
as single financial instruments. In essence, these mimic the behavior of ETF's, yet are highly customizable to
the specific allocation needs of every portfolio manager.
These synthetic ETF's present analysis challenges, however. They do not trade under any universally recognized
symbol, or on any exchange. Each custom basket only exists as a financial instrument within the framework
of client and execution broker. This is contrary to ETF's which are publicly listed and have readily available
price histories. What's more, in order to analyze these custom baskets, each and every component must be accessed
and passed into the RiskAPI system as an individual position. Multiple baskets with large numbers of holdings
quickly become difficult to manage.
In order to overcome this challenge. We have added a unique mechanism to the RiskAPI Enterprise platform which
allows users to "register" their custom baskets and assign them a private, custom symbol. This means that
a client system interacting with RiskAPI can pass a custom list of individual equities, with a unique
allocation, and associate it with a user-defined symbol. This symbol is then available to be accessed by
subsequent RiskAPI calculations.
With this new feature, the net result is faster execution, simpler position management, and a clearer
picture of risk that more closely matches portfolio management behavior.
For support or sales questions on any of our index additions, please contact us at sales@portfolioscience.com or support@portfolioscience.com (must be a current user).
What's New: May 2008
Thousands of Additional Benchmarks Added We are pleased to announce the addition of several thousand new benchmarks to the RiskAPI system.
Additional categories of indexes, such as commodities, economic indicators, and fixed income are
now available to all users, regardless of subscription or asset coverage.
In addition, a new and improved search function has been included to make it easier to scan the index
database in order to find a target benchmark.
New benchmark publishers include:
...and many more.
Having access to whole new categories of indexes means broader exposure analysis for RiskAPI users,
finer hedging analysis posibilities, and ultimately, a better understanding of portfolio risk.
For support or sales questions on any of our index additions, please contact us at sales@portfolioscience.com or support@portfolioscience.com (must be a current user).
What's New: March 2008
User-Defined VaR Confidence Levels By default, the RiskAPI system generates Value at Risk (VaR) results using a 95% confidence level. This
quantity is recognized as an industry standard in the risk analysis world. However, many users of VaR also
look at different confidence levels in order to understand how less likely, more extreme potential losses
could look like. For example, users will input a 99% confidence level in order to capture larger P&L events.
In order to satisfy this need, the RiskAPI system has, for some time now, allowed
users to set arbitrary confidence levels that were inputted in steps of 5% each. For example, users
could input 85%, 90%, or 95%.
Now, however, an arbitrary Normal Distribution function has been added to the system. This means that
any confidence level can be used, ranging from the real set of numbers: 0-0.99. With this capability,
a VaR result can be generated for a confidence level of, for example, 97.5%. What's more, users can
set up a sequence of portfolio risk functions, each one iterating through different values of confidence levels.
This allows for simulations to be done, looking at different VaR results as confidence levels are altered:
The above simulation is examining the VaR of a Eurodollar calendar spread position as
confidence levels change from 95% to 99%, with a 0.5% increment. In this manner, the perhaps
non-intuitive relationship between confidence level and final VaR result can be identified.
For support or sales questions on any of the above, please contact us at sales@portfolioscience.com or support@portfolioscience.com (must be a current user).
What's New: January 2008
Self-Adjusting Futures Contracts Scenario analysis with Futures contracts has always been difficult. Since futures contract symbols
require specific month and year expiry codes, running a past scenario requires each symbol to be altered to
represent the appropriate expiry relative to the chosen historical time period. This process is time-consuming, as each
future contract symbol must be manually edited in order for the scenario analysis to work.
Now, with the advent of our new self-adjusting future contracts, positions are adjusted automatically.
This eliminates the tedious work needed to prepare a portfolio for historical scenario analysis. The adjustment happens as follows:
Any existing future contract in the RiskAPI system can be dynamically adjusted in this manner by adding a ".FC"
suffix to the symbol.
The example above shows the self-adjusting notation being applied to a current, December 2007 CME Eurodollar contract.
Using the ".FC" notation, the system recognizes the EDZ7 as the 1st Eurodollar contract. The historical time
period being used is from 1/1/2007-3/15/2007. The system then uses the EDM7 contract, which was the 1st Eurodollar
contract during this historical time period. This can be verified by the last price column, since the EDZ7.FC
symbol generates the same closing price as the EDM7 symbol. The system is therefore using EDM7 data, rather
than EDZ7 data.
For support or sales questions on any of the above, please contact us at sales@portfolioscience.com or support@portfolioscience.com (must be a current user).
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