Portfolio managers can identify, measure and control risk for both absolute and relative return strategies. Our models cover marketable and illiquid securities traded globally.Everything Everywhere
US Fundamental Equity
US Macroeconomic Equity
US Short Term Equity
Global Equity Risk
Single Country & Regional Equity
US REIT Model
Global REIT Model
Private Equity Real Estate
Adaptive Near Horizon
Service applications for our users to manage both taxable and tax exempt portfolios. Used at both the enterprise-wide level and one portfolio at a time.Optimizer Service
Performance Attribution Service
Allocation Research Toolkit Service (ART)
Managed Account Rebalancing Service (MARS)
See other ways to access Northfield offerings in our Partners section
Now managers have the tools to monitor and control positions in individual global equity securities, fixed income securities, currencies, and indices.
- Grounded in State-of-the-Art portfolio theory
- Measures risk exposure with a high degree of accuracy
- Intuitive real world systemic risk factors
- Model includes 68 developed and emerging market countries with 57 currencies
- Optional Data Sets: U.S. Munis, Collateralized Instruments, Derivatives, Real Estate, Private Equity, Mutual and Hedge Funds
Download Documentation - Everything Everywhere-Japanese Language Version
The Northfield Portfolio Optimizer enables you to create a portfolio that delivers more return for each level of risk and reflects your preferences and beliefs.
- Integrates with Northfield Risk Models
- Analyzes a portfolio's factor "bets" and suggests buys and sells
- Incorporates transaction costs, taxes, and a wide range of user imposed constraints
- Has features to facilitate doing large numbers of problems such as batch processing and automatic rounding to round lot trades
Download Documentation - Open Optimizer Report Descriptions
Download Documentation - Open Optimizer Report Descriptions-Japanese Language Version
The US Fundamental Equity Risk Model is a vital tool for US equity managers to control exposure to endogenous factors, such as price-to-earnings ratio and yield.
- Relaxed CAPM construct that goes beyond Beta
- Captures sources of covariance between securities
- Model based on 67 factors: Beta, 11 fundamental characteristics, and 55 industry groups
- Fully compatible with the Northfield Optimizer
The Performance Attribution System provides consultants, plan sponsors, and investment managers with a detailed explanation of an equity portfolio's performance, quickly identifying the reasons for superior or sub-par performance. This system is compatible with data from any Northfield Risk Model.
- Recognizes management styles that can be evaluated against a stated investment philosophy
- Characterizes portfolio risk to enable portfolio style realignment
- Enhances multi-manager investment processes by assessing the strengths of individual managers
The Northfield Macroeconomic Equity Model is a multi-factor US risk model to allow the user to monitor and gauge risk, and to integrate the return and risk characteristics of macroeconomic factors into the stock selection and portfolio management process.
- Captures risk by measuring a stock's exposure to pervasive economic factors
- Produces a portfolio that minimizes the tracking error versus benchmark
- Tilts a portfolio to take advantage of expected changes in any of seven macroeconomic variables
A robust, flexible toolkit using Northfield's state of the art Optimizer to analyze and select asset classes with new, innovative Manager Search and Individual Financial Planning analytics. ART includes the Analytical Hierarchy Process ("AHP"), in addition to traditional tools for asset allocation and manager selection. We believe AHP is a significant innovation in asset allocation work for both the individual and institutional marketplaces. Essentially, AHP allows the investment expert to specify and weight data factors allowing for greater flexibility in determining suitable portfolios or Managers. ART also has improved historic simulation that includes tactical rebalancing using historic expected returns and returns based style analysis that features the usage of confidence intervals to improve the interpretation of sample results.
- Incorporates data for U.S. Mutual Funds, Institutional managers, Separately managed accounts, Hedge Funds, Global Indices
- AHP for Manager Search and/or Individual financial planning
- Historic simulation/back-testing
- Style Analysis with or without confidence intervals
Allocation Research Toolkit, ("ART") Video Introduction
|ART Overview||Low Res||High Res|
|AHP||Low Res||High Res|
|ART Optimizer||Low Res||High Res|
|CUSUM Style Analysis||Low Res||High Res|
|User Wealth Analysis||Low Res||High Res|
Download Documentation - Allocation Research Toolkit (ART) - Overview
Download Documentation - Allocation Research Toolkit (ART) - Japanese Language Version
The Northfield Short Term Equity Model provides daily variance forecasts for managers with short-term investment horizons by using a "statistical factor" model that infers its factors from security behaviors. It can respond rapidly to sudden changes in conditions at the firm, factor, and market levels.
- Features pioneering use of forward-looking variance estimates derived from security level option implied volatility, a better predictor of future volatility changes than recent sample historical volatility
- The model is freshly estimated for each trading day
Download Documentation - U.S. Short Term Equity Risk Model-Japanese Language Version
The MARS system provides a complete "production" infrastructure for the private banking market by automating key parts of the overall management process. MARS ties together separately managed databases such as; portfolio accounting, customer relationship, risk modeling, tax optimization, trade order management and other reporting databases into one seamless process. The MARS computation engine enables users to trade off risk, return and taxes one account at a time or in a batch process.
- Runs off of Northfield's Open tax optimization engine developed back in 1996
- Provides operational efficiencies that enable the Manager to meet the demands of the private client profitably
- Rebalancing up to thousands of accounts in a centrally controlled process
- The ability to scale Northfield's tax optimizer firm-wide
Managed Account Rebalancing System, ("MARS") Video Introduction
|MARS Conceptual Overview||Low Res||High Res|
|Portfolio Construction with MARS||Low Res||High Res|
|MARS User Scenario||Low Res||High Res|
The Northfield Global Equity Risk Model measures every security's exposure to its region, its sector, global interest rates, and oil prices. The model includes fundamental variables such as size, dividend yield, and growth orientation. It also takes into account the portfolio's exposure to currency bets relative to the investor's home currency.
- Grounded in modern portfolio theory, parsimonious, intuitive, and measures risk exposure with a high degree of accuracy
- Helps managers to monitor and control positions in global equities and related currencies
- The model associates risk with exposures to securities from 68 developed and emerging market countries, involving 57 currencies
Download Documentation - Global Equity Risk Model-Japanese Language Version
Combining financial planning, after-tax asset allocation and location in one comprehensive framework for Wealth Advisors
A robust, flexible toolkit using Northfield's tax optimizer and innovative financial planning techniques to help the wealth advisor manage client portfolios. WealthBalancer uses a "life balance sheet" approach to initiate and then maintain the portfolio construction process for individual investors. Our extended balance sheet methodology captures a client's entire financial picture in the present and future. We believe the Advisor is better positioned to offer more suitable risk-return investment advice by incorporating tax sensitivity into the analysis up-front before re-balancing asset allocations.Discretionary wealth (total assets minus total liabilities) is used to enhance individualized risk management.
- Differentiate yourself from the competition by offering more advanced portfolio construction processes to the individual investor
- High level of personal customization
- Automates the updating of asset allocations as a client's personal circumstances change
- A superior analytical tool for building better long term after-tax, risk adjusted returns for the individual investor
The Single Country and Regional Equity Models are designed for controlling the risk of portfolios invested in a single market or region. They are extended CAPM constructs. We first estimate the influence of market returns, and then explain remaining returns with industrial sectors and macroeconomic factors. These models also include an innovative hybrid factor method that allows new important factors to enter the model as needed.
- Consistent factor structure allows for easy comparison across countries
- Model uses temporary statistical factors to adjust automatically as market conditions evolve through time
- Produces a portfolio that minimizes the tracking error versus benchmark
- Models available for Asia Pacific, Asia Pacific Including Japan, Australia, Brazil, Canada, China, the European Union, Japan, South Africa, Switzerland, the United Kingdom, the United States, and US/Canada.
Download Documentation - Single Country / Region Risk Models-Japanese Language Version
The Northfield US REIT Model measures the risk of REIT portfolios by treating the firms as securitized real estate. Factors naturally important to real estate are included, such as the geographic distribution of property owned and the composition by property type (e.g. office, apartment, and retail).
- Combines real estate characteristics with firm equity characteristics such as market capitalization
- Model defines nine property types
- US property locations are divided into nine geographic regions
The Northfield Global FTSE EPRA/NAREIT REIT Risk Model is a multi-factor risk model developed specifically for the Global Real Estate Investment Trust market. The model is solidly founded on the classification of global REITs into different sector and regional segments constructed using the FTSE EPRA/NAREIT Indices.
- Relates each security's return time-series to the returns of a global real estate market index factor, a global sector-grouping index factor, a size factor, a regional index factor and a currency factor
- Covers Asia, Europe and North America regions
- Includes all the REITs in the FTSE EPRA/NAREIT global index
Download Documentation - Global FTSE EPRA/NAREIT Model-Japanese Language Version
The Private Equity Real Estate Model is designed to eliminate the appraisal bias associated with traditional industry benchmarks and appraisal-based valuation methodologies. Combining property-specific and property market data, the model not only produces risk estimates for real estate using methods that are consistent with those used for traded securities, but also traces and quantifies the sources of risk at both the property and portfolio levels. Because the model is linked to Northfield’s Everything Everywhere Model and Open Optimizer, risk metrics and portfolio construction tools normally associated with stocks and bonds are now available to global property owners.
- Relates each property’s risk to property-specific characteristics such as financing, lease turnover, tenant credit, as well as economic factors
- Consistent factor structure allows for easy comparison across properties and portfolios
- Permits users to answer questions such as:
• Changing financing structures
• Hedging interest rate risk
• Impact of adding or subtracting a property
• Risk comparisons across markets and land uses
Northfield's Adaptive Near Horizon Models are a suite of models for forecasting risk over short horizons. Every Northfield long-term model is available in an adapted near horizon form that retains the intuitive, proven factor structure of its long horizon counterpart. The model is adapted to fit instantaneously observed market information that may deviate quite dramatically from the long-term norm.
- Designed to predict near term risk in every market covered
- Gives managers and traders the most current measure of portfolio risk
- Based on the belief that current market conditions contain the most relevant information about near term behavior
Download Documentation - Adaptive Near Horizon Risk Models-Japanese Language Version
The Transaction cost model allows for a better understanding of how liquidity imbalances translate into trading costs and their impact on market prices.
- Provides a method for extending any existing model of US trading costs to any market around the world
- Allows investors to manage liquidity risks as well as market risks for their portfolios
- Included with all Northfield Optimization Service subscriptions
Download Documentation - Transaction Cost Model-Japanese Language Version