What's the best risk control software for small-mid size hedge funds?

L

lx008

What's the best risk control software for small-mid size hedge funds that trade mostly equity,futures and options ?
 
Can you be more specific? What do you mean by risk controls? Are you looking for a real time analytical tools or something to provide limits. Do Equities/options have to be on the same software as futures?

What are your requirements?
Is this a real need or just an inquiry?
 
Thanks Robert，we 're looking for some systems that can manage multiple accounts risks, including net value and margin level and other risk parameters, in real time.It's better to have all asset classes managed in one system,with precise net value calculation that can be used as reports for clients.And the system should cover China market.At current, it's an inquiry.
 
I don't think there is a on-size-fits-all package is there?

You should look at VAR and stress tests... with options you will need to look at impl vol shifts too at several underlying levels... single stocks need to be stress tested on heavier shocks...
 
lx008 said:
Thanks Robert，we 're looking for some systems that can manage multiple accounts risks, including net value and margin level and other risk parameters, in real time.It's better to have all asset classes managed in one system,with precise net value calculation that can be used as reports for clients.And the system should cover China market.At current, it's an inquiry.
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Through our Sterling Trading Tech sister company, we have developed risk and margin products for US equities and options that can be customized for institutional users. We do not cover foreign markets. For Futures, I'd look toward Object+. I use a basic version to monitor client risk and live futures/options SPAN margin. Because they provide services to Wedbush Futures, my basic version is only $100/month. The full version for a hedge fund or FCMs is a multiple of that. They are based in Amsterdam. I'm not sure if they cover Asian Futures.
http://www.objectplus.nl/

Finding a global system that does everything well off the shelf will be hard. Call me if you need an introduction for either system. These are not retail offerings except the basic version of Object+ for Wedbush clients.
 
lx008 said:
Thanks Robert，we 're looking for some systems that can manage multiple accounts risks, including net value and margin level and other risk parameters, in real time.It's better to have all asset classes managed in one system,with precise net value calculation that can be used as reports for clients.And the system should cover China market.At current, it's an inquiry.
More...

If you use IB, look at IB's Risk Navigator software. It takes a bit of effort to get used to, but overall its pretty comprehensive on managing your portfolio risk by underlying, regions, industries and long/short and diving in by greeks, all in real-time. Addtionally, gives multiple measures for VaR that you can tune for various time-periods. For a few things that I find missing (real-time margin req by underlying, liquidity risk, net option long/short etc.) I've written some scripts to generate these for me.

Some commercial software that does similar things that I've looked at were Silexx Financial Systems and StatPro's Portfolio Analysis. Bloomberg has something called PORT that does portfolio risk analytics on their platform. These are all cost prohibitive and personally, most folks can make most everything work with IB Risk Navigator and IB's api's.

Nonetheless, I'm interested on what you find out. I frequently evaluate Risk management software to see if it makes sense in my system.
 
InTheMaking said:
If you use IB, look at IB's Risk Navigator software. It takes a bit of effort to get used to, but overall its pretty comprehensive on managing your portfolio risk by underlying, regions, industries and long/short and diving in by greeks, all in real-time. Addtionally, gives multiple measures for VaR that you can tune for various time-periods. For a few things that I find missing (real-time margin req by underlying, liquidity risk, net option long/short etc.) I've written some scripts to generate these for me.

Some commercial software that does similar things that I've looked at were Silexx Financial Systems and StatPro's Portfolio Analysis. Bloomberg has something called PORT that does portfolio risk analytics on their platform. These are all cost prohibitive and personally, most folks can make most everything work with IB Risk Navigator and IB's api's.

Nonetheless, I'm interested on what you find out. I frequently evaluate Risk management software to see if it makes sense in my system.
More...
How do you define and measure liquidity risk?
 
Hi Robert,
By liquidity risk, i just mean how quickly i can unload a given position, based on the bid/ask spread. I've written a simple script that just quantifies the bid/ask spread. Nothing accurate, but just enough to give me a good/bad/ugly indication. There are some options that I deal with where the bid/ask spread gets wider on the last 2 days of expiration and hence the need for something like this.
-- m
 
Almost all solutions will have their companies 'anomalies' built in to them, unless you buy institutional or roll your own you need to go on a learning curve to find a 'best fit', basically trial and error for your strategy. There is 'no best' in the margins, it's 'least worst'.
 
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