Asset Manager

Daily consolidation and analytics for UCITS compliance monitoring

The challenge

The asset manager invests in quantitative investment strategies from multiple investment banks.

The strategies are held in a UCITS fund subject to detailed daily regulatory compliance rules that can only be monitored with full transparency on all underlying positions.

The portfolio management team needed flexible tools to assess UCITS compliance on both a pre-trade and post-trade basis.

Our approach

LumRisk provides daily consolidations, based on underlying position transparency, to meet UCITS regulatory requirements and to monitor internal limits.

The portfolio management team uses the risk, performance, quantitative analysis and portfolio construction tools provided by LumRisk to monitor the portfolio, research individual strategies and assess the impact of adding strategies to the portfolio.

LumRisk sends daily position data via SFTP which the client integrates into its own risk engine and internal systems.

The client’s quant team uploads data through LumRisk’s API to feed internal Python-based tools and relies on LumRisk reporting capabilities to generate monthly reports for their top management.

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