Fulcrum Asset Management LLP is an independent private partnership founded in 2004 by Gavyn Davies, former Chief Economist of Goldman Sachs, and Andrew Stevens, an investment manager at Goldman Sachs. Headquartered in London, the firm manages approximately $1.5 billion in absolute and relative return strategies.
Fulcrum considers risk management to be an integral part of portfolio management and has invested in building the infrastructure that ensures that its funds are closely monitored and abide by prespecified risk limits. Using MATLAB®, Fulcrum built a risk management system that dynamically measures risk and return, enabling portfolio managers—the Fulcrum Risk Committee and the Fulcrum Investment Committee—to respond rapidly to market events.
The MATLAB based system provides an accurate view of each fund’s current positions, calculates several risk measures (including volatility, value-at-risk, expected shortfall, drawdowns, and factor exposures), enables scenario testing to assess vulnerability to default scenarios, and helps fund managers select hedges.
“MATLAB makes it easy to access financial data from internal databases and external data service providers without building extra software,” says Fulcrum Director Athanasios Bolmatis. “With MATLAB we can process that data using risk management techniques developed by our own experts and scale the system as we add more funds.”