Custom Development Print E-mail

Addressing the needs of hedge fund practitioners, Quant offers two custom development lines: designing (customizing) software applications within Quant Suite framework and development of custom analytical models.

Customized software applications include additional statistics, charts (rolling windows and static) and report templates incorporated to the specific Quant Suite modules in addition to the default ones. For example, to examine the trend of negative distribution tales, you may incorporate rolling skewness window charts.

Applicable for the broad range of non-linear financial instruments like hedge funds, risk model development is based on Quant risk management framework, which could be outlined as follows:

  • Applying downside risk statistics (ETL, LPM, semideviation, Omega etc)
  • Analyzing entire distribution of return functions rather than spot measures
  • Focusing on real driving factors affecting manager performance rather than on shallow index labels
  • Incorporating global optimization techniques to remove the convexity limitations

Each of the custom models includes a set of pre-defined inputs (ex. constituent fund distributions of returns or correlations with benchmarks), constraints and a set of output functions. A few real-life examples of our past developments are listed below:

  • Risk valuation model of a capital protected hedge FoF including stress testing and stochastic simulation
  • Variable leverage model of a hedge FoF (a dynamic leverage ratio subject to the inputs – current market benchmarks) including stress testing and stochastic simulation
  • Stochastic models of fund portfolios with limited manager style drifts (as a constraint)
  • Risk valuation model of a hedge FoF with manually adjustable distribution of return functions based on the predicted skewness and kurtosis
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