at Financial Technnology Year
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Features in Capital Market Assumption Tools
for Investment Strategy & Asset Allocation
Specialized modeling software for developing forward-looking return, risk, and correlation expectations across asset classes that serve as inputs to strategic asset allocation models.
We ask vendors to mark their product against our feature list. It is not available for all products and in some cases we have derived data from publicly available sources. The list of features follows. Vendors can add a further 10 key features of their own.
Customizability, Extensibility & APIs
Ability to tailor, extend, and interface with other systems via open and flexible architecture.
- Custom Assumption Models
- Users can build and integrate bespoke modeling assumptions.
- Custom Report Template Design
- Create and save personalized report formats and templates.
- Custom UI Components
- Build/edit custom user interface components for specific needs.
- Integration with Portfolio Management/Order Systems
- Ready-to-go interfaces with downstream execution or monitoring systems.
- Modular Architecture
- Core modules plus optional add-ons/plugins for increased flexibility.
- Open API Access
- Rich, documented APIs for both data ingestion and result extraction.
- Plug-In Marketplace Access
- Access to a community or marketplace for add-ons/extensions.
- SDK Availability
- Software development kits for developer customization or embedding.
- Script Execution Time
- Average time to run custom scripts or extensions.
- Scriptable Workflows
- Use of scripting languages or formula editors for workflow automation.
Data Integration & Sources
Features that ensure seamless connection to a variety of internal and external data sources to underpin assumptions and projections.
- API Access
- Provision of APIs for auto data ingestion and integrations.
- Audit Trails
- Full traceability regarding source and transformation of input data.
- Currency Handling
- Support for multi-currency data and conversion capabilities.
- Custom Dataset Upload
- Support for uploading bespoke or proprietary datasets.
- Data Mapping & Cleansing Tools
- Automated tools for mapping, cleaning, and validating large datasets.
- Data Vendor Integration
- Ability to link to major financial data vendors (Bloomberg, Refinitiv, etc.).
- Frequency Handling
- Capacity to handle and standardize data at different frequencies (daily, monthly, quarterly).
- Historical Data Coverage
- Availability and depth of historical market data accessible for modeling.
- Live Data Feeds
- Integration with real-time data feeds for up-to-date market information.
- Multi-Asset Data Connectivity
- Ability to ingest data from multiple asset classes (e.g., equities, fixed income, real estate, alternatives).
Modeling & Assumption Engine
Functionality for constructing, calibrating, and stress-testing capital market assumptions (CMAs).
- Asset Return Forecasting
- Ability to project expected returns for various asset classes.
- Automatic Calibration
- System-assisted calibration of CMAs to observed market pricing or benchmarks.
- Correlation Estimation
- Capacity to estimate and customize asset class correlations.
- Fat-Tail/Non-Normal Distribution Support
- Ability to model distributions beyond the normal (e.g., skewness, kurtosis).
- Macroeconomic Linkages
- Modeling relationships between macro variables (inflation, GDP, rates) and asset returns.
- Mean Reversion Modeling
- Modeling long-term mean reverting tendencies for returns/volatility.
- Multi-Horizon Modeling
- Model projections over multiple investment horizons (e.g., 1Y, 5Y, 10Y).
- Parameter Sensitivity Analysis
- Tools to test the impact of changing assumption parameters.
- Scenario Generation
- Capability to generate and analyze multiple market scenarios based on user inputs or macro drivers.
- Speed of Assumption Update
- Time taken for recalibrating CMAs after data change.
- Volatility Forecasting
- Modeling projected volatility for asset classes.
Optimization & Asset Allocation
Capabilities to use assumptions for running optimization and portfolio construction.
- Asset Class Granularity
- Maximum number of asset classes handled per optimization run.
- Custom Constraints Handling
- Ability to impose regulatory, ESG, liquidity, and other constraints.
- Efficient Frontier Modeling
- Generation of efficient frontiers and trade-off curves.
- Multi-Objective Optimization
- Optimization based on multiple objectives (risk, return, ESG scores).
- Multi-Period Asset Allocation
- Support for dynamic or glide-path asset allocation approaches.
- Optimization Speed
- Average time for a full optimization run.
- Portfolio Optimization Algorithms
- Support for various optimization techniques (mean-variance, Black-Litterman, risk budgeting).
- Result Exportability
- Options for exporting optimization results (Excel, PDF, CSV).
- Scenario-Based Optimization
- Run optimization under different what-if macro/market scenarios.
- User-Defined Views Integration
- Ability for users to input subjective views for optimization.
Performance, Scalability & Security
Technical features supporting robust, large-scale, and secure operation.
- Calculation Speed
- Median time required for full assumption modeling and optimization run.
- Cloud Compatibility
- Capability to deploy or access securely via cloud infrastructure.
- Concurrent User Support
- Maximum number of simultaneous users supported.
- Data Encryption (at rest/in transit)
- Full encryption of data both when stored and transmitted.
- Disaster Recovery/Backup
- Automated backup schedule and recovery protocols.
- GDPR/Regulatory Compliance
- Adherence to relevant data privacy, retention, and usage regulations.
- Multi-Tenancy Support
- Segregation of data and resources for different clients or teams.
- On-Premise Option
- Available as an installable solution within internal firewalls.
- Penetration Testing Certification
- Regular external security testing and reporting.
- System Uptime SLA
- Percentage uptime guaranteed by the vendor.
Reporting & Visualization
Tools for clear and customizable presentation of model assumptions, results, and analytics.
- Annotations/Notes
- Ability to annotate charts and reports with notes or rationales.
- Assumption Traceability
- Clear visibility into how assumptions are derived and used.
- Automated Report Scheduling
- Set up reports to auto-generate and distribute on schedule.
- Charting Capabilities
- Variety of graphical outputs (charts, histograms, heatmaps, scenario trees).
- Customizable Dashboards
- Flexibility to build and customize dashboards for different users/teams.
- Download Formats
- Number of file formats supported for output downloads.
- Interactivity
- Users can interactively change assumptions and view real-time impact.
- Multi-Language Support
- Options for reports in multiple languages.
- Simulation Outputs
- Visualization of simulation/model outcomes (fan charts, Monte Carlo clouds).
- White-Label Reporting
- Ability to generate branded reports and presentations.
Risk Analytics & Attribution
Advanced features to analyze risk characteristics and decompose historical/future portfolio performance.
- Attribution by Macro Factors
- Show exposure and risk/return attribution by macroeconomic or style factors.
- Comparative Portfolio Analysis
- Compare risk across proposed vs. existing portfolios.
- Contribution to Risk
- Attribution of risk to individual assets or allocations.
- Drill-Down Analytics
- Ability to analyze at asset, sector, region, and risk factor levels.
- Ex-Ante/Ex-Post Risk Reporting
- Forward-looking (ex-ante) and backward-looking (ex-post) risk analytics.
- Historical VaR & Expected Shortfall
- Calculation and reporting of Value at Risk and ES based on history.
- Multi-Factor Risk Models
- Incorporate multiple risk drivers and factor models.
- Risk Reporting Frequency
- Supported data/reporting periodicity for risk analytics.
- Stress/Scenario VaR
- Model stress-testing and VaR under defined scenarios.
- Visual Risk Heatmaps
- Graphical display of risk concentrations and hotspots.
Scenario Analysis & Stress Testing
Enabled tools for evaluating resilience of assumptions and allocations under different market conditions.
- Custom Scenario Builder
- Build bespoke market or macroeconomic scenarios.
- Downside/Extreme Event Analysis
- Assessment of tail risks and low-probability extreme outcomes.
- Fast Scenario Computation
- Average time to run and present a new scenario simulation.
- Historical Scenario Replay
- Replay and analyze past crisis events (e.g., 2008, COVID-19 shock).
- Macro Factor Shocks
- Introduce shocks to macro drivers (rates, inflation) and analyze impact.
- Multi-Scenario Comparison
- Simultaneous analysis and comparison of multiple market scenarios.
- Pre-Built Scenario Libraries
- Library of pre-defined macro and market scenarios.
- Reverse Stress Testing
- Identify scenarios that would cause portfolio failure or breach risk thresholds.
- Scenario Export/Documentation
- Ability to export scenario specifications and results for audit and review.
- Sensitivity Dashboards
- Visual dashboards to understand key sensitivities.
Support, Documentation & Training
Vendor-supported resources, help, and learning for users.
- 24/7 Technical Support
- Round-the-clock helpdesk availability.
- API/Developer Documentation
- Extensive, well-maintained documentation for technical integrations.
- Custom Training Materials
- Bespoke training resources tailored to firm workflows.
- Dedicated Account Manager
- Assigned point of contact for support queries and escalation.
- Multichannel Support
- Support available via email, phone, and chat.
- Onboarding/Training Programs
- Structured training sessions and onboarding support.
- Online Knowledge Base
- Comprehensive, searchable user manuals and guides.
- Release Notes & Change Alerts
- Regularly published updates on product changes.
- User Community/Forums
- Access to discussion forums and product user groups.
- User Feedback Mechanism
- Platform for submitting enhancement requests and feedback.
User Management & Collaboration
Features to enable secure, auditable, and collaborative workflows.
- Approval Workflows
- Built-in review and approval process for changing key assumptions or outputs.
- Audit Logging
- Complete logging of user actions and changes for compliance/audit.
- Collaboration Tools
- Real-time note sharing, discussions, and shared workspaces.
- Collaboration with External Partners
- Controlled access and sharing with clients or third-party consultants.
- Data Room/Document Repository
- Secure cloud storage for files and documentation.
- Role-Based Access Control
- Fine-grained permissioning for individual users and teams.
- Single Sign-On (SSO)
- Integration with enterprise authentication standards.
- User Activity Monitoring
- Monitoring and reporting of user sessions and activities.
- User Capacity
- Maximum number of active user accounts supported.
- Version Control
- Tracking and management of different assumption/model versions.