eFront underpins HEC/ Pensions & Investments LP ranking with risk exposure calculation

eFront Software Solutions2018 News Press ReleaseseFront underpins HEC/ Pensions & Investments LP ranking with risk exposure calculation



April 30 , 2018 | Posted by eFront Solutions |

eFront underpins HEC/ Pensions & Investments LP ranking with risk exposure calculation

Paris | April 30, 2018 – eFront, the world’s leading Alternative Investment management software and solutions provider, announced today that they have actively supported the creation of the first ranking of US Public Pension funds. The ranking was realized by Professor Oliver Gottschalg of HEC Paris and published today in “Pensions & Investments”.

As a result of a successful collaboration between eFront and Professor Oliver Gottschalg in the field of risk measurement methods, eFront has launched a new risk measurement solution, eFront Value at Risk (VaR). By using eFront VaR and its risk exposure calculations, Professor Oliver Gottschalg has now created the first US Public Pension funds ranking.

The LP ranking combines performance and risk calculations derived from US Public Pension funds’ investments into an aggregated index. The top 10 performers are named and listed while the remaining 40 are analysed but not named.

eFront VaR is unique in its ability to calculate risk exposures for Limited Partners based on a bottom-up, granular approach looking at underlying asset characteristics compared with a rich historical database of comparative data. eFront VaR is available as a standalone tool dedicated to VaR measurement, or as a module within the newly launched eFront Insight advanced analytics solution.

Commenting on the announcement, Professor Oliver Gottschalg said, “The Ranking highlights the discrepancies in the performance of Private Equity (PE) portfolios of US public pension funds. It represents a milestone in our understanding of PE investing, also as we have been able to fully integrate the risk dimension into the assessment, for which eFront VaR calculations were instrumental”.

Thibaut de Laval, Chief Strategy and Marketing Officer at eFront, added, “Using eFront VaR to assess risk exposures of US Public Pension funds proved to be an interesting exercise. We expect this ranking to encourage Limited Partners in general to adopt more sophisticated approaches and analytics to balance their risk-return performance”.

Together with Professor Oliver Gottschalg, eFront will support the requests of Limited Partners willing to assess their own risk-return index following the same methodology as for the LP ranking.