The system includesportfolio data from counterparties, loading the portfolio into software, processing portfolio analysis and producing detailed reports. The portfolio data is usually acquired daily via a secure channel (SFTP) and the risk factor database is updated daily to ensure the accuracy of the analyses. In the event of errors or missing data, Nummus.Info initiates a procedure for correcting inconsistencies. In addition, at this stage, a consistency check is performed between the market values of the securities loaded into the software and the values in the custodian bank.
Nummus.Info provides financial analysis reporting based on the use of various information sources, including the MSCI BarraOne software. The BarraOne software uses a proprietary multi-factor model to measure portfolio risk, which includes risk factors for the equity, bond and private markets. Nummus.Info has also signed a partnership with MSCI for the use of the BarraOne platform. BarraOne’s Multi Asset Class (MAC) solution allows the calculation of various risk statistics, such as Value at Risk (VaR) and Expected Shortfall (CVaR).
Nummus.Info is a financial advisory company that offers performance analysis and performance attribution services to its clients. The tools used for these analyses are based on various software and information sources, such as MSCI BarraOne and Ice BofA ML. Nummus.Info uses the MSCI BarraOne software for all risk analysis and portfolio optimisation, which uses a proprietary multifactor model to measure risk even in illiquidity situations. In its performance attribution service, Nummus.Info provides data for both the portfolio and the benchmark, based on the constituents of the underlying securities. Furthermore, Nummus is the only financial advisory company in Italy that can combine performance, risk and sustainability in its performance attribution analysis. The analysis tools are available at both the overall portfolio and sub-portfolio level. Nummus.Info also offers the possibility of comparing the sub-portfolios that make up the overall portfolio, providing a graphical and tabular representation of their allocations, performance and risks.
Risk analysis is an important part of the performance attribution of a financial portfolio, which includes the assessment of the potential loss ratio (VAR) and the expected shortfall (Expected Shortfall) for both the portfolio and the benchmark, broken down by several variables such as geographic area, sector, duration, rating, currency and country. The ex-ante risk analysis also includes a factorial decomposition and risk indicators for asset classes, as well as the trend over time of VAR, CVaR and volatility. Stress tests are an important part of this analysis, involving the simulation of various extreme market scenarios to assess the impact on a portfolio. Stress tests can be based on specific market data or on hypothetical, historical or customised scenarios. Nummus.Info uses BarraOne to perform these stress tests on client portfolios.
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