Deutsche Börse has agreed on a cooperation with Private Banking Prüfinstanz. For this year’s FUCHSBRIEFE test Tops 2009 – Die besten Vermögensmanager in A / CH / D / FL / L" ("Tops 2009 – The best asset managers in A / CH / D / FL / L“), Deutsche Börse Market Data & Analytics is to supply objective key indicators for the systematic risk measurement of selected investment recommendations made by banks and independent asset managers. These will be published for the first time on 25 November 2008.
Market Data & Analytics calculates market factors of commonly used benchmark indices, so called sensitivities. A comprehensive risk assessment is performed for each individual security in the investment recommendations. The sensitivities are entered into a portfolio simulation based on historical scenarios. The simulation helps to identify critical components that either increase investment risk or distort diversification. Moreover, key indicators are determined such as maximum loss, projected portfolio return and the Sharpe ratio.
In supplying these key indicators, Deutsche Börse contributes to the quality assessment of investment recommendations, which is performed annually with the FUCHSBRIEFE analysis.
Deutsche Börse Market Data & Analytics plans to launch the data product SENSIS, which served as the basis for determining the key indicators of the asset manager test portfolios, in fall 2008.
