multi-strat
The challenge for the multi-strat fund is not to have their requirement to trade
numerous asset classes translate into a myriad of different systems to support this
diverse function
Together Derivation Trader and Fund offer an integrated application suite, which
provides the front-to-back solution needed by the multi-strat fund. Derivation Trader
is able to monitor thousand of positions simultaneously, processing the complex
derivative analytics needed in real-time, with flexible tools to effectively manage
and mitigate risk.
This is coupled with Derivation Fund’s core portfolio management platform, which
reports real-time performance and is equipped with automated and standardised procedures
to reduce operational risk. Fund comes with a number of essential out-of-the-box
interfaces to key counterparties, as well as a flexible reporting suite and the
necessary accounting capabilities.
derivation highlights
- Assets classes: Commodity, Convertible, Credit, Equity, Fixed Income & Interest Rate products are fully supported and priced.
- Live P&L: Real-time P&L viewable by any period, using a complete range of price sources.
- Risk management: Real-time risk sensitivities, calculating the Greeks, coupled with risk simulator to stress test and historical VaR simulation across all asset classes.
- Operational automation: Cash ladders forecasting cash & securities, extensive reporting suite and reconciliation to deal with exceptions.
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key features
traded assets & market data
- All assets supported, with trades directly entered, loaded from files or FIX drop copies.
- Connectivity with Bloomberg, Reuters, CMA & MACE for pricing and instrument terms data.
- Complete trade lifecycle, with trade history and full audit trail; generating CSV/XML trade file exports to all Prime Brokers and Administrators.
P&L and position management
- Real-time “tick by tick” P&L, viewable by any period: Daily, MTD, YTD & Lifetime.
- P&L may be based on theoretical, live, house or end of day price sources, with configurable alerts and colouring features.
- Complete P&L breakdown (realised/unrealised) with choices of accounting methodology are available, detailing real-time risk and exposure management.
risk management & simulation
- Real-time calculation of Greeks, including: Delta, Gamma, Vega, Theta and Rho.
- VaR simulation across all asset classes, with customisable confidence levels and time horizons which may be viewed simultaneously, complete with full VaR reporting suite.
- Flexible scenario analysis and stress testing functionality.
cash management & reporting
- Real-time cash ladders forecasting cash & securities balances, fees, expenses, subscriptions and redemptions.
- Process automation, with a reconciliation tool to deal with exceptions.
- Highly configurable reporting suite, with many pre-formatted reports such as NAV & Exposure reports, automatically generated as scheduled tasks.