How will asset allocation changes impact my portfolio risk?


Asset allocation decisions can have significant impacts on portfolio risk. These decisions are often made in response to quickly changing market conditions but risk reporting is often only done once per day as a batch process that may take too long to be useful for decision making.


Red Swan’s Risk Cube allows users to evaluate the risk of asset allocation changes on-the-fly without waiting for the holdings to be processed through the risk engine. The Risk Cube computes VaR or Expected Loss from simulated returns at any hierarchy with the flexibility to change the allocation to position weights to generate pro forma risk scenarios.


Portfolio managers have access to portfolio risk information at the time when decisions are being made, not after the fact. Risk information can be used to inform the asset allocation decision instead of simply reporting on it.