Portfolio Managers Embrace Open-Source Analytics

Terry Flanagan

Investment managers are faced with an increasingly complex regulatory and risk environment, and hence are in need of industrial-strength risk analytics.

Recognizing this need, providers of portfolio management platforms are incorporating such analytics in a form that’s robust enough to handle complex pricing yet in an easy-to-use format.

“We are developing systems and services that ensure that the data and the rules that operate on the data are accurate and of high quality as well as ensuring that reports are presented in a useful, efficient manner,” said Mike de Verteuil, global head of business development at Linedata.

Linedata and StatPro Group, a provider of portfolio analytics and reporting services, have teamed to allow Linedata to provide integrated portfolio analytics and reporting to the asset management community.

“Portfolio managers and traders using Linedata Longview gain access to portfolio analytics and reporting that are integrated with our platform,” said de Verteuil.

“We chose StatPro because they offer functionality that is easily integrated with our products with an intuitive and appealing user experience,” he said.

StatPro uses QuantLib, a free, open-source library for quantitative finance, as the building block for its proprietary financial pricing libraries.

Finance is an area where well-written open-source projects could make a tremendous difference.

Financial institutions require cutting-edge pricing models and hedging tools. However, to get there, one is currently forced to re-invent the wheel every time. Even standard decade-old models, such as Black-Scholes, still lack a public robust implementation.

“Vendor systems typically have a relatively short time-to-market for internal deployment, but that comes at a cost of flexibility, customizability, and transparency,” said Kirk Wylie, co-founder and CEO of OpenGamma, a provider of an open source analytics and risk management platform.

Therefore many firms have chosen to build in house, which is an expensive proposition, both to build and to maintain.

The OpenGamma Platform offers a robust and flexible open-source alternative to traditional homegrown or proprietary analytics and risk management solutions. “We provide businesses the best of both worlds: the cost and speed advantages of using a vendor solution, with the flexibility and transparency of an in-house solution,” said Wylie.

In addition, many firms still rely on overnight processing for risk and analytics. “Being built on a real-time platform means that we can provide firms with up-to-the-minute knowledge of their risk and exposure, which is extremely important to the business when markets are moving rapidly,” Wylie said.

Clients of Linedata Longview and StatPro can view portfolio analytics using graphics powered by StatPro Revolution, a cloud-based service combining risk measurement, performance and contribution analysis and attribution analysis.

“ASP and cloud delivery of mission-critical applications is becoming increasingly widespread and the advantages of this delivery mechanism are central to our value proposition,” said de Verteuil. “Delivering analytics via the cloud offers quick access to client portfolio information and helps reduce operating costs.”

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