Russell/Mellon, Measurisk.com To Publish Risk Benchmarks On Web

May 2, 2000 (PLANSPONSOR.com) - Plan sponsors will be able to benchmark their managers more quickly with new risk measures to be published by Russell/Mellon Analytical Services and Measurisk.com. Eighteen Russell indices and the nine universes they support will publish their value at risk (VaR) measures starting the third quarter of this year.

The benchmarks will allow plan sponsors to evaluate their manager’s returns against acceptable rates of risk. VaR is a statistical measure of the downside loss potential of a portfolio within a certain confidence level. These measures are similar to traditional performance measurement benchmarks.

The measures to be published will allow institutional investors to compare their own manager?s actual risk against other managers? quartile rankings and range of risk within style. “Clients previously could see risk numbers on their own portfolios,” Measurisk.com?s Chief Operating Officer Andrew Lapkin said, “but they couldn?t see whether these were high or low relative to others in the industry.”

Understanding risk

“I see this as an important first step in recognizing and serving the need of smaller plan sponsors to have access to risk measurement analytics,” said Harris M. Lirtzman, Director, Risk Management for the New York City Retirement Systems.

According to a joint statement by Russell/Mellon and Measurisk.com, plan sponsors will be able to:

  • Understand risk in their own portfolios
  • See how all their portfolios fit into a larger picture and how much risk they each contribute to that picture
  • How their portfolios compare to others industry-wide

Such comparisons can be “eye opening,” Lapkin notes. “There is a trend to better disclosure. Value at risk measurements shore up where standard deviation information falls short. It?s gaining attention.” 

Pricing will be $400-1000 per report per account, depending on:

  • The number of accounts in the plan
  • The types of securities
  • The frequency of analysis

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