Bonds – Risk analysis and simulation
Actions – Risk analysis and simulation
Bonds – Risk analysis and simulation
APT Monte Carlo: Simulation
Stress Testing and Scenario Analysis – Analysis
Efficient Frontier – Analysis
Performance vs. Risk – Analysis
Implicit target – Identification
Proxy Hedge Fund – Construction
Liquidity – Risk analysis
Promoters: Risk analysis and performance
of external funds
Historical Fund Analysis: Risk Analysis
- Verification of asset recognition
- Modeling of missing instruments
- Integration into user architecture (GIS, Data Provider and other databases)
- Analysis of absolute and relative equity portfolio risk with all relevant indicators;
- Accounting decomposition;
- Accounting risk attribution;
- Behavioral attribution;
- Analysis of marginal and total risk contributions per position.
- Absolute and relative risk analysis of the bond portfolio with all relevant indicators including actuarial calculations;
- Accounting decomposition;
- Accounting attribution of risk;
- Behavioral attribution;
- Analysis of marginal and total contributions to risk by position.
- Complete analysis of portfolio behavior after impact of selected volatility and level shocks;
- Selection of historical or customized scenarios;
- Effect splitting by explanatory variables.
- Presentation of the efficient frontier and the initial portfolio and benchmark for a given profile;
- Presentation of portfolio compositions within the efficient frontier;
- Risk breakdown of each efficient portfolio.
- Monitoring relative performance within risk envelopes;
- Decision-making tool for arbitrages;
- Quantifies the manager’s contribution to portfolio performance.
- Construction of a combination of indices (or securities) with the risk profile closest to that of the initial portfolio;
- Optimization with or without constraints (Min/Max weight, number of securities, Tracking Error optimization, Tracking-At-Risk®, etc.).
- Reproduction of the risk profile of an alternative fund (or fund of funds), based on a composition of alternative indices quoted on a daily basis;
- Composition of the implicit target and the APT correlation achieved;
- Effect splitting by explanatory variables.
- Evaluation of the possible loss in the event of liquidation of all or part of the portfolio;
- Calculation complies with UCITS IV regulations on liquidity risk.
- Reconstitution of the sensitivities of funds or funds of funds to geographic, sector and style variables;
- Calculations based on fund net asset values;
- Possibility of presenting the fund’s systematic Beta/correlation pairs with peer groups established by our partner FUNDCLASS.
- Complementing the Promoters analysis – similar analysis on a historical basis;
- Historical analysis of sensitivities and selected strategies;
- Independent risk allocations showing correlations and Betas of funds against a set of indices/strategies.
Complementing the Promoters analysis – similar analysis on a historical basis;
Historical analysis of sensitivities and selected strategies;
Independent risk allocations showing correlations and Betas of funds against a set of indices/strategies.
APTimum 