PerTrac Financial Solutions, the New York-headquartered provider of analytic and workflow systems, has collaborated with FinAnalytica, which offers portfolio risk technology for multi-manager funds, hedge funds and asset management firms, on the release of PerTrac RiskPlus, a new returns-based risk analysis system.

PerTrac RiskPlus examines portfolio risk based on the monthly returns of each fund in the portfolio rather than each fund’s holdings, information which is either unavailable or impractical to acquire from hedge fund managers on a timely basis, and is expensive to analyse, the firm said in a statement. RiskPlus makes this information available to investors and gives them insight into the risks to which they may be exposed.

Among the features of the new system is a Copula function that considers dynamically changing correlations among funds and stress tests that show how a portfolio and its underlying managers could be expected to perform in 11 different historical market stress scenarios. PerTrac RiskPlus users can also stress test exposures to seven different risk categories including equities, bonds, ABS/MBS, commodities and FX, along with each fund's beta and p-value relative to 23 different market factors.

Gerry Mintz, PerTrac president and chief executive officer, said that the new product uses "statistics based on fat-tailed distributions, dynamic correlations and multi-factor models" and "sheds light on opaque portfolios at a price far less than more traditional or position-based risk systems.”

“It offers large and small investors tools previously available only with the purchase of a software platform costing almost ten times as much,” he said.

PerTrac RiskPlus, which is aimed at funds of funds, pension funds, sovereign wealth funds, endowments, foundations, family offices, and other hedge fund investors, is an optional module integrated into the latest version of the PerTrac Analytical Platform application, the investment analysis and asset allocation software.

Pricing is based on usage, so the product can be more affordable to smaller investors who require less frequent reports, while larger investors with more managers or bigger reporting demands can scale up as needed, the firm said.