Quant Portfolio Construction Print E-mail
Quant Portfolio Construction software includes a set of applications covering all the aspects of the hedge fund of funds construction process. It is seamlessly integrated with  the Quant Risk engine providing the same advanced risk valuation for the entire portfolio or underlying assets.

Quant Portfolio Structure

Typical Tasks

  • Risk valuation of hedge fund buskets
  • Custom Stress Testing
  • What-if analysis
  • Risk contribution analysis
  • Enhancing portfolio market neutrality
  • Correlation analysis
  • Heuristic modeling
  • Finding portfolio bottlenecks

Features

  • Distribution of returns analysis
  • Monte Carlo, Sobol and Latin Hypercube simulation
  • Stress testing against underlying assets
  • Stress testing against market factors
  • Custom distribution adjustment (heuristic)
  • What-if scenario analysis
  • Tornado sensitivity charts
  • Improved short series analysis

Heuristic Portfolio Modeling

Professional hedge fund investing always implies forecasting. A good hedge fund portfolio manager is one who is capable of providing the most accurate forecasting over longer time horizon. The forecasting may involve changes of economic environments or underlying funds’ performance or anticipated manager style drift. Whatever future changes are taken into consideration, the Quant distribution adjustment module offers a solid ground for heuristic modeling. You can easily adjust distributions of assets returns and even manually define distributions matching the given risk/return profiles.

Finding Portfolio Bottlenecks

Taking portfolio diversification to a new level, Quant offers an advanced portfolio sensitivity analysis. This technique allows us to examine the effects of return fluctuations of the underlying assets, thus identifying the significant components of the portfolio.

A sensitivity simulation may be extended to the more sophisticated examination of effects of substituting input distributions. For example, if replacing some weak empirical distributions by the stronger theoretical ones results in significant enhancement of portfolio properties, we may search the hedge fund universe for funds exhibiting the closest approximation to the preferred analytic distributions.

Market Neutral or Trend Followers

Our proprietary Trend Segmentation™ technique applied to the portfolio composition process significantly enhances a portfolio risk/return profile providing the following advantages:
  • Higher returns on assets, while remaining within a low risk range
  • Instant identification of portfolio bottlenecks under various macro scenarios
  • An instant FoF real performance that is close to its simulated performance based on the past results
  • Constructing true market-neutral portfolios exhibiting sustained performance over diverse market cycles.

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