Technology Brief: Drake Management strengthens risk monitoring capability

Mon, 17/11/2003 - 08:01

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Drake Management LLC is partnering with RiskMetrics Group, Inc. to develop its portfolio analytics and risk measurement tools.

Through implementing RiskMetrics Group's full suite of risk measurement systems tailored for absolute return strategies, Drake will build upon its proprietary variance/covariance risk aggregation methodology, a version of the Black-Litterman approach.

One such application is RiskMetrics Group's RiskManager(tm) software, a state-of-the-art risk management tool that facilitates the creation of tailored, flexible Value-at-Risk (VaR) reports and stress tests.

Portfolio-level risk information can be broken down and viewed inmany ways, quantifying aggregate exposures and marginal risk contributions. In this way, Drake expects to be better able to simulate a given investment strategy's sensitivity to a wide array of potential and historical market scenarios.

Drake technology and analytics chief Bob Herin said: "RiskMetrics' powerful suite of products will broaden our ability to produce multi-dimensional views of portfolio and security-level risk."

As part of Drake's ongoing commitment to building an asset manager of the highest quality, over time the firm will work to provide relevant portfolio risk reports to clients and counterparties via the RiskMetricsGroup

Background Note: Based in New York, Drake Management LLC was founded in May 2001 and is an SEC-registered Investment Adviser. The founders worked together at both Pacific Investment Management Company (PIMCO) and BlackRock, Inc. prior to starting Drake Management. Presently, Drake employees over 30 professionals and manages approximately USD 1 billion across two global, multi-sector fixed income hedge funds-its flagship Drake Absolute Return Fund and the more recently launched Drake Global Opportunities Fund-plus several managed accounts for traditional institutional investors.

RiskMetrics Group provides financial analytics and wealth management solutions to hundreds of financial institutions, corporations and central banks worldwide. RiskMetrics Group analytics, data and services enable users to measure and manage risk, and to communicate that risk to managers, clients, investors, shareholders and regulators. Formerly a division of JP Morgan, RiskMetrics Group became an independent company in 1998. The company is headquartered in New York City, with seven offices worldwide, including London, Tokyo and Singapore.