This might be a question out there for those who currently/ or have tried in the past to run their own fund or those who trade money for others. Is there any software that helps with managing risk for your entire portfolio? Perhaps something along the lines of IB's Risk Navigator, but a little more comprehensive?
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Portfolio/ Risk Management Software
- Thread starter maninjapan
- Start date
No Takers? Alright maybe a more general question. What do you use to calculate the Risk of your portfolio?
N. Taleb has made a decent living from the observation that there is no single definition of the word "risk", nor can "risk" be captured in a single number, a scalar value.
For example, if your fund has 80 positions, it might possibly happen that all 80 of them suddenly went against you, all at once, and all 80 of them hit their stoplosses (where you exited the positions), all in the same ten minutes. Some people would say that the amount of money you would lose if this unhappy event were to occur (all positions simultaneously hit their stoplosses), is your "Risk". Others would say, poppycock, some of those 80 positions are noncorrelated or anticorrelated (We're long soybeans and short corn for God's sakes! Soybeans aren't going to shoot down at the same time that corn shoots up! Don't be a schmuck!). These others would say you've got to include the correlation effects when calculating your "Risk". (Just as SPAN margin calculations include correlation).
Still others would say, the market doesn't respect your stop, it can gap right over your stop and you'll exit at a price considerably WORSE than your stop price. Your "Risk" is greater than the sum of the distances to all 80 of your stops. Play Hitchcock film music and chant "Black Swan, Black Swan, Black Swan, Black Swan, ..." when embracing this definition of "Risk".
So you want software to calculate "Risk". What definition of "Risk" do you prefer?
For example, if your fund has 80 positions, it might possibly happen that all 80 of them suddenly went against you, all at once, and all 80 of them hit their stoplosses (where you exited the positions), all in the same ten minutes. Some people would say that the amount of money you would lose if this unhappy event were to occur (all positions simultaneously hit their stoplosses), is your "Risk". Others would say, poppycock, some of those 80 positions are noncorrelated or anticorrelated (We're long soybeans and short corn for God's sakes! Soybeans aren't going to shoot down at the same time that corn shoots up! Don't be a schmuck!). These others would say you've got to include the correlation effects when calculating your "Risk". (Just as SPAN margin calculations include correlation).
Still others would say, the market doesn't respect your stop, it can gap right over your stop and you'll exit at a price considerably WORSE than your stop price. Your "Risk" is greater than the sum of the distances to all 80 of your stops. Play Hitchcock film music and chant "Black Swan, Black Swan, Black Swan, Black Swan, ..." when embracing this definition of "Risk".
So you want software to calculate "Risk". What definition of "Risk" do you prefer?
yes yes, I understand that I have read his books and while I have a healthy respect for his ideas I was actually referring to Risk management/ portfolio analysis software, most of which I would assume are based around VAR, MPT etc...