Quant Risk Print E-mail

The nature of hedge funds is to create attractive alpha returns combined with efficient risk diversification and immunity against devastating market conditions. But how to provide an unbiased and valid risk assessment taking into account numerous hedge fund valuation problems? While the conventional CAPM and the mean-variance methodology fail when it comes to hedge funds, Quant Risk engine is the natural choice of the alternative investment industry professionals.

  • Need to take into account nonnormality of hedge fund distributions of returns?
  • Need to valuate funds with short return series?
  • Need to compare various alternative risk metrics?
  • Need to design your own custom metrics?
  • Need to measure tails of distributions of returns?
  • Need to conduct stress testing to offset extreme market events?
  • Need to valuate fund behavior in dynamic over a period of time?

If your answer is "Yes", then you should consider Quant Risk solutions. As a core part of the Quant Suite, the Risk component presents all-in-one set of software applications for the quantitative risk assessment of hedge funds.

Advanced Risk Measurement

Quant Risk goes far beyond the traditional tools for risk management. Designed to address specific hedge fund valuation problems, Quant Risk offers advanced yet easy to use solutions to identify, measure and control hedge fund applicable risks. Quant Risk engine enables you to take into account various aspects of hedge fund irregularities:
  • Non-normal distributions of returns
  • Short return series
  • Low correlations with the style indices
  • High autocorrelation
  • Biased style categorization
  • Manager style drifts
  • Non-convexity of portfolio objective functions
  • Instant history bias

Typical Tasks

  • Single hedge fund risk valuation
  • Portfolio valuation
  • Dynamic performance analysis
  • Distribution of return analysis
  • Multi-criteria ranking
  • Market Factor analysis
  • Stress testing
  • Peer fund comparison
  • Sensitivity analysis
  • Attribution analysis

System Features

  • MS Excel integration
  • Compatible with major data vendors
  • Stand-alone or network deployment
  • Scalable modular architecture
  • Intuitive and customizable workspace
  • Improved stochastic simulation engine

Risk Measures

  • VaR (MVaR, CVaR, HVaR, marginal and incremental VaR)
  • Sharpe, Sortino and Calmar ratios
  • Skewness and kurtosis
  • Omega and Kappa
  • Hurst indicator
  • Max drawdown
  • High moments
  • Market factor betas
  • Treynor ratio
  • Sensitivity coefficients
  • Beta, alpha, correlation and r-square
  • Dynamic neutrality index
  • Jarque-Bera normality index
  • and many more...

Charts

  • Historical performance (risk/return)
  • Rolling charts (across all indicators)
  • Tornado sensitivity graphs
  • Rolling style drift charts
  • Distribution fits (pdf and cdf)
  • Peer and benchmark comparison

Distribution Fitting

The predefined distributions cover the broad range of known distribution functions listed below (the most common hedge fund distributions are highlighted in bold):

Beta General Pareto
BetaGeneral Geometric Pareto 2
Beta-Subjective Pearson V Pearson VI
Binomial Hypergeometric Gaussian
Chi-Square Inverse PERT
Cumulative IntUniform Poisson
Discrete Logistic Rayleigh
Discrete Uniform Log-Logistic
Student’s t Error Function Lognormal
Triangular Erlang Lognormal 2
Trigen Exponential Negative Binomial
Weibull Gamma Normal
Extreme Value Uniform

Reporting

  • Easy customizable report templates
  • Combining quantitative and qualitative due diligence reports (a qualitative database is required)
  • Editing generated reports
  • One-click data series update function