Riskalyze takes pride in analyzing most investments at the investment level, rather than making asset allocation mapping assumptions or other approaches. Our core analysis engine takes the actual price history of stocks, ETFs, and mutual funds to generate our analytics. Structured products are unique in that they have a finite life cycle and an inadequate amount of historical trading prices.
Riskalyze partners with Halo for structured products analytics.
How It Works
First, Halo derives a current market price for a given structured note taking into account the performance of the underlier(s), inception, the note’s payout, and protection levels; while also accounting for the remaining time expected to maturity.
Second, Halo incorporates implied volatility in the 6-month options market to create a probabilistic distribution of outcomes over the time horizon for the underlier(s).
Third, with proprietary price simulations and implied volatility calculations, Halo provides a 6-month return range associated with the Riskalyze Risk Number.
Should you have a request for coverage on a specific existing structured product in Riskalyze, please email us at firstname.lastname@example.org and we’ll be happy to help.