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Quantitative Research & Analysis Service
IBN TECHNOLOGIES LIMITED
www.ibntech.com © 2015 IBN Technologies Limited. All rights reserved.
ISO 9001:2008 Company
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
ISO 9001:2008 Company
Overview Conti..
Quantitative Research & Analysis Services
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
ISO 9001:2008 Company
Process Flow
Quantitative Research & Analysis Services
• 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
ISO 9001:2008 Company
Quant Solutions to Investment Managers
Quantitative Research & Analysis Services
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
ISO 9001:2008 Company
Fund Historical Track Record
Monthly Performance Table highlighting negative returns of Fund & Benchmark and showing year end returns (YTD)
Quantitative Research & Analysis Services
Note: Sample Data used for above example
ISO 9001:2008 Company
Drawdown Analysis
Drawdown Analysis highlighting start of downward returns, its length and recovery period with dates for each drawdown
Quantitative Research & Analysis Services
Note: Sample Data used for above example
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Statistical Analysis & Financial Ratios Summary
Statistical Summary highlighting Fund basic statistics in comparison to benchmarks
Quantitative Research & Analysis Services
Note: Sample Data used for above example
Omega Ratio Chart of Fund against selected benchmark
Quantitative Research & Analysis Services
Note: Sample Data used for above example
Omega Ratio ChartISO 9001:2008 Company
ISO 9001:2008 Company
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
Quantitative Research & Analysis Services
Note: Sample Data used for above example
ISO 9001:2008 Company
6M Rolling Correlation
Annualized 6 Month Rolling Correlation chart highlighting 6 (or selected rolling window) months rolling volatility in comparison to selected Benchmarks
Quantitative Research & Analysis Services
Note: Sample Data used for above example
ISO 9001:2008 Company
6M Rolling Beta
Fund Rolling Beta chart highlighting 6 (or selected rolling window) months rolling beta with selected benchmarks.
Quantitative Research & Analysis Services
Note: Sample Data used for above example
ISO 9001:2008 Company
Monthly Return Distribution Chart
Distribution of Returns in Comparison to Normal Distribution
Quantitative Research & Analysis Services
Note: Sample Data used for above example
ISO 9001:2008 Company
Historical Value At Risk
Historical VAR Report chart highlighting Isolated & Marginal VAR
Quantitative Research & Analysis Services
Name of Fund Strategy $ Amount Weight Volatility Isolated VaR $ 99
Isolated VaR % 99 M.VaR $ 99 M.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
Note: Sample Data used for above example
ISO 9001:2008 Company
RiskData Value At Risk
VAR Report chart highlighting VAR & Risk/Return Contribution
Quantitative Research & Analysis Services
Note: Sample Data used for above example
ISO 9001:2008 Company
Correlation Matrix Report
Jan-09 to Dec-11
Fund
01
Fund
02
Fund
03
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Fund
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Fund
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Fund
09
Fund
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Fund
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Fund
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Fund 01 1.00Fund 02 0.86 1.00Fund 03 0.15 0.12 1.00Fund 04 0.64 0.64 0.15 1.00Fund 05 0.20 0.20 -0.07 0.20 1.00Fund 06 -0.06 -0.23 0.15 -0.16 -0.08 1.00Fund 07 0.37 0.38 -0.09 0.46 0.26 0.14 1.00Fund 08 0.40 0.42 0.20 0.09 0.60 0.02 0.29 1.00Fund 09 0.69 0.73 0.15 0.28 0.01 -0.03 0.27 -0.01 1.00Fund 10 0.58 0.70 0.24 0.59 0.17 0.06 0.63 0.43 0.41 1.00Fund 11 0.82 0.74 0.20 0.58 0.11 -0.12 0.34 0.38 0.63 0.60 1.00Fund 12 0.29 0.45 0.11 0.29 -0.04 -0.25 0.23 0.59 0.22 0.43 0.29 1.00Fund 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 1.00Fund 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 1.00Fund 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 1.00Fund 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 1.00Fund 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
Quantitative Research & Analysis Services
Note: Sample Data used for above example
ISO 9001:2008 Company
Contact Us
Quantitative Research & Analysis Services
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]