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State Street enhances risk management platform with factor-risk modelling and data from more than 4,000 ETFs


State Street Corporation is to work with Northfield Information Services (Northfield) to enhance its truView Risk Management Platform with factor-risk modelling and data from more than 4,000 exchange traded funds.

truView provides an online, end-to-end risk solution with broad multi-asset class coverage that includes data collection, exception handling and calculating of risk results.

“As it has become more difficult to anticipate market movements based on events, factor risk modelling has emerged as a popular method for calculating portfolio risk,” says Mark McKeon, global head of product, State Street Global Exchange. “When evaluating risk and performance, factor risk modelling offers our clients a more insightful view of how market forces may influence their portfolio, and as a result, the ability to better and more quickly manage their investments as necessary.”

State Street will integrate Northfield’s risk factor tools into its truView platform, including risk factor decomposition; its “Everything Everywhere” multi-asset class risk model; and its “optimizer”, a risk analysis and portfolio allocation tool.

The “Everything Everywhere” risk model calculates risk measures across all asset classes, public investment types, and alternative investments for institutional investors. Its risk model database includes more than 61,000 equities; over 550,000 fixed income securities; 1.3 million municipal bonds; 1 million mortgage back-pools; approximately 90,000 mutual funds and ETFs; and 300,000 CMOs and asset backed securities from 68 developed and emerging market countries, as well as 57 currencies.

“ETFs are becoming more popular investments as investors seek to add flexibility to their portfolios,” says McKeon. “But investors need more visibility into ETF holdings and the ability to accurately incorporate these investments with other asset classes for more cohesive oversight and risk management.”

State Street will also integrate Morningstar’s data for more than 4,000 exchange-traded funds (ETFs) into its truView platform, to help clients better capture ETF potential and allow them to model ETFs alongside other asset classes in risk and other analytics.

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