Style and Factor Analysis Print E-mail

Quant Style component enables investment professionals to perform in-depth Performance Attribution analysis based on a factor model to explain fund returns. Factors include a broad selection of benchmarks, indices or economic factors such as value, growth, small cap, momentum, country, or sector portfolios. Addressing unique hedge fund problems that make the traditional Return Based Style Analysis hardly applicable to hedge funds, Quant developed a number of solutions: Rolling or Dynamic Style Analysis with frame optimization, automatic selection of significant factors or benchmarks and many more.  Since hedge funds are non-transparent investment vehicles, it is often difficult to identify key factors or benchmarks driving fund returns. With the sophisticated Quant Style Analysis software, it is not a problem anymore - Quant engine will select the most important factors from thousands of available automatically.

Various Regression Methods

Find the key economic factors driving manager performance by running multiple regression analysis over any factors or indices. The multiple regression engine offers five different techniques: direct, stepwise, forward, backward and maximum r-squared. It allows constructing either fund-to-factors or factor-to-factor models.


DSA with Frame Optimization

Quant Dynamic Style Analysis (DSA) now includes floating frame optimization to ensure the best possible goodness of fit for a model.


Interactive Charts

Style analysis interactive and animated charts ensure user-friendly graphical interface when analyzing instruments with a large number of dependent variables. You can rotate charts or highlight (slice) a selected factor with a single mouse click.


Trend Segmentation™ Included

The Style component includes the embedded Trend Segmentation™ routine, which provides a greater insight into manager performance over diverse market conditions. Now you can not only identify the significant economic factors, but also perform an attribution analysis against various factor states, ex. uptrend, trendless or downtrend (for trend-related indices or factors).


Quant Style component helps hedge fund investors to solve various tasks:

  • Perform Performance Attribution analysis and identify key risk factors
  • Run Static or Dynamic Style Analysis to analyze manager investment style and style drift
  • Identify fund exposures to hidden assets that may not be disclosed by the manager
  • Analyze the accuracy of suggested factor models in replicating fund returns
  • Perform factor and event stress testing
  • Analyze manager risk-return statistics under different macroeconomic scenarios and market conditions
  • Identify bottlenecks in manager trading strategies under specific market conditions: excessive downside risks, factor exposures and so on
Quant Style is seamlessly integrated with the Quant Suite asset allocation software platform including hedge fund portfolio optimization tools .

 

Did you know that using advanced Quant Style Analysis you could spot the Madoff's fraud in a few minutes? Did you know that Quant Trend Segmentation™ engine is capable of exposing bad hedging techniques instantly?

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