Comprehensive Quantitative and Risk Analysis Solutions

FactSet combines solutions for risk analysis with the capability to effectively understand the sources of Alpha and create truly optimal portfolios:

• A backtesting engine built to understand complex and customized factors
• Optimizers from a variety of respected risk providers including Northfield, Axioma, and APT
• Stress Testing to perform both historical stress tests and hypothetical factor shocks
• Monte Carlo VaR simulation to create 5,000 scenarios for fat tail modeling 
• An extensive asset pricing algorithm
• A flexible reporting platform to calculate portfolio risk statistics and asset contributions
• The FactSet multi-asset class factor model  

Risk Decomposition and Risk-Based Attribution

Decompose portfolio risk at a particular point in time or investigate changes over time using your own models or those from APT, Axioma, Barra, Northfield, or R-Squared. Only FactSet offers models from five risk model providers.

Alpha Testing

Test your ideas about the relationship between portfolio variables and their resulting returns.

Stress Testing

Reveal how well a portfolio is positioned in the event your forecasts prove true and gain insight into its vulnerabilities with stress testing.

Monte Carlo VaR Analysis

Address the challenges of analyzing portfolios with equity options and accounting for fat tails in your short-term portfolio return distributions through Monte Carlo VaR.

Portfolio Optimization

Analyze an initial or model portfolio to suggest potential trades that maximize portfolio utility in a risk/return construct. Use portfolio optimization tools from APT, Axioma, Barra, and Northfield.

Portfolio Simulation

Test optimization strategies through time using your chosen risk model, optimizer, and predicted alpha in FactSet's portfolio simulation utility.

Data Integration

Combine hundreds of FactSet and third-party databases with more than 20,000 benchmarks and automated uploads of your proprietary data.