Risk Analysis
The main risk parameter of the equity model is tracking error, which is a measure of the risk relative to the benchmark. A tracking error of 5% means that the portfolio return will differ more than 5% from the benchmark return in one out of three years.

RizkLab Equity Model uses current active weights together with historical equity returns to calculate the expected tracking error. The user can freely choose the historical periods, frequency of return series (monthly, weekly or daily), and exponential half life of the risk background. The default choice for these settings is the last 50 weekly return observations with the oldest observation weighing half of the most recent observation.

Given a risk background, the program calculates security contribution to risk, as well as allocation and selection contribution to risk for any classification scheme (e.g. sector classification) or any combination of two classification schemes (e.g. sector and size).

Performance Attribution
The system can calculate relative and absolute security return contributions as well as allocation and selection contributions for any period and any classification scheme or pair of classification schemes.

Compliance
Possible constraints include maximum tracking error, turnover restrictions, UCIT-regulations and classification scheme related constraints (e.g. sector constraints).

Portfolio Optimization
Based on the on “The Fundamental Law of Active Management” formulated by Richard Grinold in 1989 and revised by Clarke, De Silva and Thorley in 2001, the program calculates the transfer coeffcient of the portfolio which is a measure of how well the company views of the manager are implemented.

Given a set of constraints and a set of company buy and sell signals, the program can find the portfolio with the highest expected active return. This portfolio can be exported directly to Moxy as a portfolio model.