SunGard APT Add-In for MATLAB

APT’s calibrated multifactor models provide a best of breed solution for portfolio construction and investment risk reporting. The key features of this solution include:

• Broad multi-asset class coverage – APT produces a range of country and regional models (with a blend of asset classes) to provide risk forecasts over different time horizons. APT's current global model covers equities (public and private), rates, FX, credit, commodities, real estate, infrastructure, inflation, funds, and indices.
• Robustness – APT’s statistical factor models capture the maximum amount of variance and covariance across markets. In addition, APT provides a logical approach to risk on an absolute or benchmark-relative basis, for each kind of investment strategy.
• Flexibility – APT provides a full range of risk measures within a flexible framework for both risk attribution and scenario analysis.
• Accessibility – Clients can connect with factor models in numerous ways, including interaction through hosted and deployed batch-based report generation tools.

SunGard’s clients use APT to generate customized portfolio risk reports that assist in monitoring, understanding, and managing market risk across a wide range of regions and asset classes.

The APT Add-In for MATLAB provides a simple and effective way to use APT from within MATLAB. Custom MATLAB classes and functions provide access to various APT analytics, such as volatility, tracking error, VaR, and marginal risk.

The product is currently built around four classes:

• The APT_Parameters class provides a structured data representation for parameters used by the APT COM server
• The APT_FDB class provides a set of methods allowing MATLAB to interact directly with the APT Risk Models
• The APT_Analytics class provides a set of methods exposing the APT COM server analytics
• The APT_Scenario class provides a set of methods enabling users to define custom scenarios programmatically

This product calls the APT COM server where all calculations are performed. Supported versions of the APT COM server are 2013.1.1 onward. This product will be shipped to all SunGard APT clients as part of the APT COM server installer.