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Overview

Sapiat’s Investment Risk products cover all asset classes, including equities, fixed income, credit and alternatives. Sapiat leverages advances in Machine Learning to combine market data with other information including alternative data sources to produce new risk signals, regime indicators, and factor-like baskets.

Clients can subscribe to Risk Model Data in three main ways including direct file feeds, APIs, and Sapiat analytic tools via third-party platforms

Key Features

  • 25 years track record (first released in1994)
  • Over 60 factor models (estimated monthly / daily)
  • Broad asset class and instrument coverage
  • High regional coverage including emerging markets
  • Full forward-looking portfolio distribution based on Monte Carlo simulations
  • Volatility, Tracking Error (and contributions), VaR, CVaR, Cross-sectional categories (region / sector etc.), Fundamental Factors, Macro Factors, Custom
  • Probabilities of Regime Shifts
  • Desktop Front End UI
  • Flexible Report builder

Key Benefits

  • Full forward-looking portfolio distribution based on Monte Carlo simulations
  • Statistical factor extraction for cleaner separation of systematic and idiosyncratic risks
  • Use of Machine Learning algorithms for more adaptive forecasting
  • Application of univariate GARCH to short-term forecasting
  • Scenario-based analyses possible for longer-horizon risks
  • Regime Detection/Switching model
  • Optimization combining quadratic and MIQP algorithms

Product/Service details