The volatility of most equities markets has increased very sharply during 2008, especially since the beginning of September 2008. In this paper we consider how the APT risk models have performed since the beginning of the year, focusing on the concepts of responsiveness and robustness.

The analysis is based on model forecasts at several different dates during the year, for both Short Term Volatility (STV) and Medium Term Volatility (MTV) models. Specific examples for the UK and US markets are considered, with the aim of providing users of APT's models a richer interpretive framework when reporting portfolio risk. The results presented here represent a sample of the continuously-generated model test outcomes which are part of the research and development process within APT.

We demonstrate the extent to which APT models have responded to market changes during 2008, with all risk forecasts increasing markedly. In particular, we show how the STV models have evolved and have been forecasting increases in short-term tracking deviation and volatility since the beginning of the year. As systematic risk has increased greatly for almost all portfolios, we illustrate how APT's Tracking at Risk (TaR) measure has been an effective forecast of short-term tracking deviation even during the extreme events of Q3 2008.

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Hedge Fund Risk 2009 report

Paul Compton, Head of Product Management at SunGard Alternative Investments discusses how a 'Traumatic Year Turns Focus to the Fat Tail' in HedgeWeek's Hedge Fund Risk 2009 Report. View the report here.

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Read Aite's RISK is Not Just a Four Letter Word report on Buy-Side Multi-Asset Class Risk Analytics featuring SunGard APT.

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Watch Laurence Wormald, Head of Research from SunGard APT, as he examines:

Are your risk models capturing accurate market information, in the face of volatility?
Performance in terms of robustness and responsiveness of APT's risk models (both STV and MTV)
Extent of responsiveness to market events, with risk forecasts increasing markedly
What measures best provide robust forecasts of portfolio risk?

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The volatility of most equities markets has increased very sharply during 2008, especially since the beginning of September 2008. In this paper we consider how the APT risk models have performed since the beginning of the year, focusing on the concepts of responsiveness and robustness.

The analysis is based on model forecasts at several different dates during the year, for both Short Term Volatility (STV) and Medium Term Volatility (MTV) models. Specific examples for the UK and US markets are considered, with the aim of providing users of APT's models a richer interpretive framework when reporting portfolio risk. The results presented here represent a sample of the continuously-generated model test outcomes which are part of the research and development process within APT.

We demonstrate the extent to which APT models have responded to market changes during 2008, with all risk forecasts increasing markedly. In particular, we show how the STV models have evolved and have been forecasting increases in short-term tracking deviation and volatility since the beginning of the year. As systematic risk has increased greatly for almost all portfolios, we illustrate how APT's Tracking at Risk (TaR) measure has been an effective forecast of short-term tracking deviation even during the extreme events of Q3 2008.

First Name *
Last Name *
JobTitle *
Company/Institution*
Contact Number *	() ext.
E-Mail Address *
Address *


City *
Country *
Zip/Postcode *

*Indicates required fields. APT does not sell or distribute email addresses in any way. Please read our privacy statement for further details.

APT Risk Model and Portfolio Analytics Solutions - for Asset Managers

Integrated multi-factor risk models for equities, bonds, & funds-of-funds.

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Watch APT's Dr Laurence Wormald live on Fox Business news.

October 23rd, 2008

Dr Laurence Wormald, Head of Research at SunGard APT was interviewed live on Fox Business News today. Dr Wormald discussed market volatility with Alexis Glick, Vice President of Business News and anchor for Fox Business Network. Click on the image below to watch the video now.

Watch a clip from BBC's Newsnight featuring Dr Laurence Wormald.

October 24th 2008

Gavin Esler discussed market volatility and interviewed Prime Minister Gordon Brown, Credit Suisse's Neville Hill and SunGard APT's Dr Laurence Wormald on Newsnight on Friday, October 24th, 2008.

APT provides investors with statistical market risk models, performance & risk analytics, and portfolio optimization & construction tools.