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
DECISIONS
PORTFOLIO OPTIMIZATION
RISK ANALYSIS
PERFORMANCE ANALYSIS
QUANT RESEARCH
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 educationalbackground:
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
•Work Closely with client research team and develops analysis tools
• Submit the analysis to Fund Manager/research team
IBN Quantitative Research Team • Analysis Reviewed by
Fund Manager and Research Team
•Based on analysis makes investment decision
Client
IBN’s Quantitative Teamdevelops and deliversModels independently onsubject 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
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Drawdown Analysis
Drawdown Analysis highlighting start of downwardreturns, its length and recovery period with dates foreach 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 basicstatistics 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 Chart
ISO 9001:2008 Company
ISO 9001:2008 Company
6M Annualized Rolling Return Chart
Annualized 6 Month Rolling Return chart highlighting6(or selected rolling window) months Rolling Annualizedperformance 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 highlighting6 (or selected rolling window) months rolling volatility incomparison to selected Benchmarks
Quantitative Research & Analysis Services
Note: Sample Data used for above example
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6M Rolling Beta
Fund Rolling Beta chart highlighting 6 (or selected rollingwindow) months rolling beta with selected benchmarks.
Quantitative Research & Analysis Services
Note: Sample Data used for above example
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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 VolatilityIsolated
VaR $ 99
Isolated
VaR % 99M.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% 3.62
ABC Fund Discretionary Trading 494,647.10 27.2% 10.5% 15,679.25 72.7% 13,161.41 85.8% 3.16 51.6% 0.16
MNO 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
Fun
d 0
1
Fun
d 0
2
Fun
d 0
3
Fun
d 0
4
Fun
d 0
5
Fun
d 0
6
Fun
d 0
7
Fun
d 0
8
Fun
d 0
9
Fun
d 1
0
Fun
d 1
1
Fun
d 1
2
Fun
d 1
3
Fun
d 1
4
Fun
d 1
5
Fun
d 1
6
Fun
d 1
7
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 Portfolio
Correl 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]