The Client
A large global long-short, multi-asset, and multi-currency, investment management firm with over $4Billion in Assets Under Management.
The Solution
During the discovery and project planning phase, the Cognivo team, with extensive knowledge and experience in the capital markets, reverse-engineered the current legacy system to design the architecture of the new custom risk and portfolio management solution.
The Cognivo team started small by building a proof of concept to port over non-critical, risk, and portfolio management functions to the new system first. Once, the client was able to experience the value derived from the proof-of-concept upgrades, Cognivo, and the investment manager’s internal investment management team started porting more critical functions to the new, customized data warehouse and system architecture built utilizing the latest programming languages and technologies. This highly customized risk solution included custom features like variance-covariance value-at-risk calculations with over 99% confidence level, in-house stress test scenarios, and backtesting of models.
What We Delivered
Near real-time, Customized Risk & Performance Dashboards.
The risk and performance information is presented to the investment and risk management team via a custom, web-based interactive dashboard. Some of the statistics and features implemented include (a) Real-time P&L, NAV, VAR view by portfolio, baskets, sectors, asset class, geography, and other attributes, (b) Support for multi-asset (equities, commodities, and FX), and multi-currency portfolios, (c) Support for all three VAR calculations, including Historical method, Variance-Covariance method, and Monte Carlo simulation, (d) Flexible what-if scenario calculations, and analysis, (e) Integration with a multitude of broker-dealer trading APIs, market data sources, and charting APIs, (f) Seamless integration with industry-leading middle and back office systems.
Complete integration across various internal and external systems.
The modernized system, having been developed using the latest programming languages and APIs is open in format, which allows for easy integration with other systems that the investment firm uses. The system also automatically extracts data from various internal and external sources via API, and FTP. Then post-process, the data is stored in a centralized data warehouse.
Highly efficient workload management.
The investment management and the operations team no longer need to gather data manually from various sources, and then reconcile the data after generating the reports. According to the Chief Investment Officer, the biggest advantage of this new solution is that this allowed them to better utilize their small team of analysts, who are now able to use their time performing more meaningful tasks for the firm.
Exceptional return on investment (ROI).
According to the Chief Investment Officer, the many hours saved by automation allowed at least one full-time role to be dedicated to other functions within the firm. This amount to over eight hundred thousand dollars in savings over a ten-year period.