Risk Analysis Services - Quantitative Research Analysis | IBN

Quantitative Research & Analysis Service

IBN TECHNOLOGIES LIMITED

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http://www.ibntech.com/

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Overview

Quantitative Research & Analysis Services

In Finance Market, the volume of data available for analysis has

increased dramatically. Yet too often data is not fully leveraged

as an investment asset because of trim analytical staff and

information overload. IBN Quantitative Research services can

assist you by applying advanced statistical technique to help

you get more from your data, this will help you in making better

Investment Decisions. IBN Quantitative Research team works

closely with Fund Managers/Fund Research Team/Onshore

Analysts and assists them in:

Addressing your Investment Concern

DECISIO

NS

Performance Analysis

Statistical Analysis of Returns

Risk/Return Analysis

Alpha-Beta Analysis

Correlation & Sensitivity Analysis

Volatility Analysis

VAR Analysis

Global Risk Analysis

Momentum Analysis

Portfolio Optimization

Advanced Quantitative Research

o Artificial Intelligence

o Clustering

o Modeling

o Optimization


Overview Conti..


IBN Quantitative Research team develops and delivers the advanced research and analytics

required by Fund Managers and Investment Management Team which help them in verifying

investment decisions and evaluating the risk adopted.

Helping you Achieve your Investment Goals

Team:Team of professionals with more than 5+ years of experience with following educational background:

India’s Top Engineering Colleges/IITS/

Certified Professionals CFA, CMA, CFM, CPA, etc

Experience:Data Exploration, Modeling, Simulation and Optimization Techniques: Technology: Excel-VBA, MatLab, R, C++, ASP.Net, Microsoft SharePoint

Software: Portfolio Management software like Advent, Cogendi, TAO Analytics, FC Back Office, Risk Data Engine, Paxus and other Proprietary software


Process Flow


• IBN Data Team tracks & report data as per requirement• Data tracked in excel or client’s database

IBN Data Team

IBN’s Quantitative Team develops and delivers Models independently on subject matter

Models delivered as per Client’s requirement

Requirement & Instructions given by Client for Model


Quant Solutions to Investment Managers


Quantitative & Risk Analysis

Top Risk Analysis

Extreme Value Theory based VaR

Cornish-Fischer Expansion based VaR

Monte Carlo Simulations based VaR

Principal Component Analysis based Clustering

Performance Attribution

Exposure Analysis – Geofocus, Sector & Market Cap

Quantitative Fund Snapshot

Portfolio Analysis:

Portfolio Optimization Tool

Proforma Portfolio

Fund to fund Correlation matrix

Index Construction

List of Sample Quant Solutions Developed by IBN


Fund Historical Track Record

Monthly Performance Table highlighting negative returns of Fund & Benchmark and showing year end returns (YTD)


Note: Sample Data used for above example


Drawdown Analysis

Drawdown Analysis highlighting start of downward returns, its length and recovery period with dates for each drawdown




Statistical Analysis & Financial Ratios Summary

Statistical Summary highlighting Fund basic statistics in comparison to benchmarks



Omega Ratio Chart of Fund against selected benchmark



Omega Ratio Chart



6M Annualized Rolling Return Chart

Annualized 6 Month Rolling Return chart highlighting 6(or selected rolling window) months Rolling Annualized performance in comparison to selected Benchmarks




6M Rolling Correlation

Annualized 6 Month Rolling Correlation chart highlighting 6 (or selected rolling window) months rolling volatility in comparison to selected Benchmarks




6M Rolling Beta

Fund Rolling Beta chart highlighting 6 (or selected rolling window) months rolling beta with selected benchmarks.




Monthly Return Distribution Chart

Distribution of Returns in Comparison to Normal Distribution




Historical Value At Risk

Historical VAR Report chart highlighting Isolated & Marginal VAR


Name of Fund Strategy $ Amount Weight VolatilityIsolated VaR $ 99

Isolated VaR % 99

M.VaR $ 99M.VaR %

99

M. VaR %99 Per Unit Allocs

M. 18M Ret

M. 18M Ret / M.Var % 99 Per

Unit Allocs

Diversification Benefit =28.83% 1,819,783.03 100.0% 3.2% 21,556.59 100.0% 15,341.59 100.0%XYZ Fund VaR 0.8%Libor 3M CASH 1,143,520.25 62.8% 0.6% 4,691.77 21.8% 1,473.21 9.6% 0.15 55.3% 3.62ABC Fund Discretionary Trading 494,647.10 27.2% 10.5% 15,679.25 72.7% 13,161.41 85.8% 3.16 51.6% 0.16MNO Fund Multi Strategy Event Driven 181,615.68 10.0% 7.9% 1,185.57 5.5% 706.96 4.6% 0.46 -6.9% -0.15



RiskData Value At Risk

VAR Report chart highlighting VAR & Risk/Return Contribution




Correlation Matrix Report

Jan-09 to Dec-11

Fund

01

Fund

02

Fund

03

Fund

04

Fund

05

Fund

06

Fund

07

Fund

08

Fund

09

Fund

10

Fund

11

Fund

12

Fund

13

Fund

14

Fund

15

Fund

16

Fund

17

Fund 01 1.00

Fund 02 0.86 1.00

Fund 03 0.15 0.12 1.00

Fund 04 0.64 0.64 0.15 1.00

Fund 05 0.20 0.20 -0.07 0.20 1.00

Fund 06 -0.06 -0.23 0.15 -0.16 -0.08 1.00

Fund 07 0.37 0.38 -0.09 0.46 0.26 0.14 1.00

Fund 08 0.40 0.42 0.20 0.09 0.60 0.02 0.29 1.00

Fund 09 0.69 0.73 0.15 0.28 0.01 -0.03 0.27 -0.01 1.00

Fund 10 0.58 0.70 0.24 0.59 0.17 0.06 0.63 0.43 0.41 1.00

Fund 11 0.82 0.74 0.20 0.58 0.11 -0.12 0.34 0.38 0.63 0.60 1.00

Fund 12 0.29 0.45 0.11 0.29 -0.04 -0.25 0.23 0.59 0.22 0.43 0.29 1.00

Fund 13 0.67 0.66 0.22 0.50 0.29 -0.36 0.26 0.73 0.51 0.33 0.64 0.59 1.00

Fund 14 0.39 0.29 0.12 0.24 -0.04 0.13 0.16 -0.12 0.42 0.19 0.24 0.41 0.51 1.00

Fund 15 -0.10 0.02 0.05 -0.35 -0.07 -0.09 -0.15 0.14 -0.16 0.06 0.05 0.02 0.06 1.00

Fund 16 0.32 0.28 0.16 0.57 0.07 0.04 0.43 0.56 0.08 0.40 0.27 0.45 0.54 0.28 -0.16 1.00

Fund 17 0.63 0.65 -0.15 0.60 0.19 0.19 0.59 0.26 0.39 0.79 0.66 0.22 0.17 0.01 -0.64 0.34 1.00

XYZ PortfolioCorrel Matrix




Contact Us


USAIBN Technologies (US) LLC

108 West 13th Street, Wilmington, Delaware 19801

UK – LondonIBN Technologies Limited (Reg – FC031335)26 Barclay Road, Croydon, Surrey CR0 1JN

Global Delivery Center (India)IBN Technologies Limited

CyberNex, 4th Floor, Shankar Sheth Road, Swargate, Pune, Maharashtra 411037, India.T : +91 20 24264182/4183 F: +91 20 24264184 E: [email protected]

mailto:[email protected]

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Risk Analysis Services - Quantitative Research Analysis | IBN