Introduction to Macroeconomic Scenario Screening™ and its implementation in Risk Shell. EST time zone.
Macroeconomic Scenario Screening™ For Hedge Funds
A special event webinar dedicated to ABC Quant's proprietary risk assessment techniques, Macroeconomic Scenario Screening™ and Trend Segmentation™. The most common approach of risk assessment, applicable to any financial instruments, is to calculate relevant risk statistics for a given time interval or aggregated time intervals - during only positive (or negative) returns of corresponding benchmarks. The examples of the latter method are β+, β- or bear correlation. ABC Quant has developed an analytical model going beyond that approach by analyzing risk profiles over aggregated periods of similar states (or trends) of significant market factors, i.e. factors affecting the performance of the instrument being analyzed. The states of market factors depend entirely on the nature of these factors, e.g. bullish/bearish periods of equity markets, widening intervals of credit spreads and so on.
This tutorial explains the methodology of the Macroeconomic Scenario Screening™ and Trend Segmentation™ models and their implementation in practice, from the hedge fund investor's standpoint..
Basics Of Macroeconomic Scenario Screening™ and Trend Segmentation™
- Explaining the model and the ways of selecting market states.
- Trending and non-trending factors.
- Identifying market pivot points for trend selection.
Macroeconomic Scenario Screening™: Asset Selection For Hedge Fund Investors
- Using advanced asset selection techniques: Macroeconomic Scenario Screening™.
- Creating macroeconomic scenarios.
- Trend screening vs. factor screening.
- Combining risk statistics for aggregated time intervals with general metrics.
Trend Segmentation™: Enhanced Style Analysis
- Using Trend Segmentation™ for a deeper insight into manager risk profiles.
- Using Trend Segmentation™ for forecasting manager performance during different market conditions.
- Selecting significant factors for Trend Segmentation™.
Getting It All Together: Step-By-Step Tutorial For Hedge Fund Investors
- Creating investment portfolios with Macroeconomic Scenario Screening™ and Trend Segmentation™.
- The concept of 'reverse engineering' for the fund of funds portfolio construction: mitigate extreme event risks in advance.
- Real-life portfolio examples and backtesting.
Potential Audience
Institutional portfolio managers, hedge FoF and multi-asset portfolio managers, risk managers, CIOs, advanced family offices. endowments.
