FactSet triumphs twice for best buy-side systems

Buy-side trading system of the year

Buy-side market risk management system of the year

Rob Robie, FactSet

FactSet’s core commitments are to serve its clients in the best way possible, maintain data integrity through workflows and controls, and provide full multi-asset class coverage. These commitments have guided the development of its buy-side trading and risk management systems, and continue to drive their further evolution. 

FactSet’s execution management system (EMS), Portware Enterprise, is designed to act as the central platform for the creation and execution of trading strategies for global equities, futures, options, fixed income and foreign exchange. It features an advanced pre-trade decision support module, with quantitative analytics and artificial intelligence-based algorithmic trading optimisation capability. 

The EMS offers extensive access to electronic liquidity in a single system for multiple asset classes. Its performance, reliability and scale enable it to support the largest and most sophisticated buy-side firms. Portware Enterprise is custom configured to each client’s unique workflow requirements and can meet the demands of high-volume trading for complex workflows of its tier one institutional clients.

The system’s open architecture facilitates straight-through processing with one order management system (OMS) or more, or other sources of order origination, eliminating the need for manual rekeying of trade data and reducing operational risk.

Portware’s Smart Trading Assistant streamlines workflows for intelligent trade automation and management by exception. A flexible data capture and data warehouse and reporting framework helps satisfy regulatory requirements, including the revised Markets in Financial Instruments Directive (Mifid II) best execution. Capabilities such as automated credit checks into proprietary multi-asset fungible credit facilities allow for the dynamic application of broker restrictions across clients’ portfolios. By automating functions such as Mifid II execution performance capture, splitting and merging blocks, and direct integration of at-trade analytics, Portware enables experienced traders to handle a greater number of complex orders across multiple asset classes. 

With a growing number of asset managers, insurers and asset owners regarding the function of an enterprise risk management system as moving beyond simple compliance into the heart of the investment process, FactSet is developing a holistic risk platform to meet this need. It is integrating its established risk management analytics with its portfolio analysis platform and the Cognity leading-edge market risk, portfolio construction and investment decision analytics.

As well as its own suite of multi-asset class risk models, FactSet provides risk models and optimisation applications from a number of market-leading vendors, including Axioma, Barra and Northfield. It also gives clients the ability to load custom proprietary risk models. Clients can gain a full transparent view of risk distribution at portfolio, factor and asset levels using a Monte Carlo or linear approach. Analytics covers a wide range of asset classes, including equity, fixed income, commodities, currencies, alternative and private assets, and their derivatives. 

A new linear multi-asset model allows for risk decomposition precisely aligned with the variables managers use for portfolio construction and optimisation. For fixed income strategies, the model uses a set of factor models that cover global fixed income markets, and allows for calculation of various risk statistics, such as tracking error volatility, value-at-risk and expected tail loss. The model also includes commodity and equity market models, which enable users to analyse the interplay of multiple asset classes on a fixed income portfolio with small contributions from other markets. 

The integration of the Cognity solution and fat-tail model with FactSet’s existing risk solution enables the models and technology to scale. As a result, clients benefit from increasingly reliable and predictable risk estimates, which capture complex phenomena of market dynamics such as excessive probability of extreme events, dependencies in the occurrence of large negative or positive returns across markets, volatility clustering and asymmetry of the assets’ return distribution. 

The risk tools are underpinned by an extensive set of market and economic data. FactSet undertakes nightly monitoring and calculation of analytics across all asset classes. It has a dedicated data integration team and provides more than 150 channels into custodians, fund administrators, OMSs and accounting systems. The company prioritises customer service and client experience and has a team of global client service and product specialists who are available around the clock. 

 

Judges said:

“FactSet has a prestigious client base and is responsive to them. The company identifies real trends in its clients’ activities and links them to changes in its service.”

“The company has a successful build-and-buy strategy. It has progressively added relevant effective functionality and made good technology choices over time.”

“FactSet offers good-quality, integrated solutions with flexibility and a range of analytics.”

 

Rob Robie, executive vice president, head of analytics and trading solutions at FactSet, says:

“FactSet’s risk management solutions enable a full, transparent view of risk distribution at the portfolio, factor and asset levels using a Monte Carlo or linear approach. Clients can choose the model that matches their investment process, including FactSet’s suite of multi-asset class risk models, modelling and optimisation applications from several market-leading vendors, and loading functionality for proprietary models. Recent achievements include the launch of FactSet’s linear multi-asset model and the integration of the Cognity solution and fat-tail model.

“FactSet’s enterprise EMS, Portware, offers unparalleled access to electronic liquidity in a single system for multiple asset classes with power to handle high volumes of unique execution workflows. Portware’s vendor-neutral and open architecture enables integration of proprietary and third-party market data, benchmarks and analytics, including transaction cost analysis, providing better pre-trade insight and risk management capabilities. Recent improvements include a new HTML5 interface and trade history capabilities – particularly for Mifid II.”

 

Read more articles from the Risk Markets Technology Awards 2020 winners’ review

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