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PFaroe E&F

Investment risk and simulation analytics for endowment portfolios with a focus on spending requirements and achieving mission objectives.

PFaroe E&F Features

A snapshot of the endowment or foundation’s portfolio value, asset allocation and risk attributes – key information for all stakeholders.

Asset value and breakdown​

  • Daily portfolio value history​
  • Segmentation by asset type​

Risk summary​

  • Portfolio value at risk (VaR)​
  • VaR attribution broken down into component risk factors
  • User-selected confidence intervals for displaying VaR results​
  • Key market stress scenarios​

Monitor portfolio holdings and assess the impact of changing market conditions. ​

Automatic monthly valuations ​

  • Breakdown by fund holding ​
  • Attribution of monthly changes in portfolio value by underlying risk factor

Asset cashflow projections

  • View and analyze asset cashflow projections

“What-if?” stress testing

  • Stress test asset cashflows and portfolio value
  • Shock economic conditions including inflation rates, interest rates, etc.
  • Test alternative asset allocations; add additional benchmarks or custom funds

Analyze risk attributes and align the investment portfolio with risk and return objectives.

VaR attribution and distribution

  • Generate value at risk (VaR) and attribute by risk factor and asset type
  • Drill into individual risk factors and view the full distribution and summary risk statistics
  • Underpin the forecast with PFaroe’s powerful economic scenario model or input your own

Analysis of historical market events

  • Observe the impact on the portfolio value of historical financial crises (e.g. Credit Crunch, Bursting of Dot-Com Bubble, etc.)

“What-if?” stress testing

  • Calculate the portfolio risk and return trade-off by testing different asset allocations or the impact of adding or subtracting specific managers, funds or strategies
  • Optimize the risk and return for asset allocation or manager selection exercises

Perform powerful forecasting of portfolio value and the endowment’s spending contribution to the organization. Analyze the impact of highly customizable investment strategies over time.

Powerful forecasting

  • Generate and analyze portfolio and spending projections on a stochastic or user-defined basis
  • Underpin the forecast with PFaroe’s powerful economic scenario model or input your own
  • Underpin the forecast with PFaroe’s powerful economic scenario model or input your own

Spending and gifting studies

  • Define spending formula specific to the organization
  • Optimize spending through “What-if?” analysis of different spending formulae
  • User-selected confidence intervals for displaying VaR results
  • Key market stress scenarios​

Evaluation of the optimal investment portfolio

  • Set the asset allocation to rebalance over time in accordance with a number of sophisticated trading strategies
  • Incorporate custom assets, asset allocation solutions and manager strategies

Implementation and testing of investment strategies

  • Review user-defined stress tests impacting specific funds or macro strategies
  • Stress specific economic factors such as inflation rates
  • View the resulting impact on the portfolio and spending requirements

Model and maintain custom asset classes – from public funds, ETFs, and alternatives including hedge funds and private equity.

Funds of funds

  • Create unique blends of asset classes using PFaroe default benchmarks
  • Define client-ready public funds and ETFs

Alternatives

  • Replicate complex fund strategies by regressing a return series against a chosen set of risk factors

Instantly create client-ready PowerPoint or Excel templates.

Automated client reports

  • Load client-ready PowerPoint templates into PFaroe
  • Extract valuable information on a timely basis for client reports

Detailed internal benchmarking

  • Extract key cross-client information into Excel for quick analysis
  • Easily benchmark your book of business’ summary risk factors such as VaR, stress results, portfolio returns, Sharpe ratios, etc.

Bulk processing for business efficiencies

  • Easily automate the production of bulk reports for clients with similar reporting needs across all their plans ​
Mockup of PFaroe E&F Dashboard with Value metrics
Mockup of PFaroe E&F Dashboard with Asset metrics
Mockup of PFaroe E&F Dashboard with Risk metrics
Mockup of PFaroe E&F Dashboard with Forecast metrics
Mockup of PFaroe E&F Dashboard with Value metrics
Mockup of PFaroe E&F Dashboard with Reporting metrics

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Relevant solution for

Nonprofit Organizations
Investment Consultants

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Awards

At the point when clients come first, awards follow​

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