Factor Analysis And Style Analysis Software For Hedge Funds And Fund Of Funds

The Factor Analysis component of Risk Shell utilizes various statistical models to reveal the relationship between an independent variable (typically a fund or an asset being analyzed) and a group of explanatory variables or a factor subset (typically macroeconomic factors, global indices or style indices). The output of factor analysis is a regression factor model that explains asset returns in terms of identified factors' returns. That factor model can be further used for the Style Analysis purposes or stress testing. Risk Shell offers both Returns-Based and Holdings-Based factor analysis as well as Static and Dynamic Style Analysis designed specifically for hedge funds and alternative investments.

Benefits For Hedge Fund Investors And Fund of Funds

  • Find driving factors of asset performance
  • Analyze manager style drift and historical factor exposure changes
  • Build a reliable factor model for stress testing

Manager Style Analysis: Key Features

  • Static and Dynamic Style Analysis
  • Advanced regression models
  • Kalman filters
  • User-defined factor subsets
  • Elastic-net, LASSO and Ridge regression models
  • Principal Component Analysis
  • Akaike Information Criterion (AIC)

Factor Analysis Highlights

  • Static Factor Analysis
    Static Factor Analysis

    Get exposures to macroeconomic factors over a fixed time frame.

  • Dynamic Factor Analysis
    Dynamic Factor Analysis

    Get a deep insight into manager style drifts and shifts of exposures to asset classes and macro factors.

  • DSA 100% weight
    DSA 100% weight

    Utilize various chart visualization options to explain assets with positive only or positive-negative factor exposures.

  • DSA Kalman Filter
    DSA Kalman Filter

    Use the Kalman filter to minimize errors in generating dynamic style analysis models.

Risk Shell Components

Risk management and portfolio construction for alternative investments

Asset Selection

Hundreds of quantitative and qualitative filters capable of constructing complex asset search criteria.

Factor Analysis

Multivariate Returns-based and Holdings-based Static & Dynamic Style Analysis to identify granular sources of asset performance.

Stress Testing

Stress assets or portfolios to identify and mitigate potential event risks. Predict impacts of extreme event shocks.

Portfolio Construction

Portfolio construction software for fund of funds: diversification & correlation analysis, risk budgeting and many more.

Peer Group Analysis

Multi-statistic and traditional Box-Plot Peer Group Analysis designed for hedge funds and multi-asset portfolios.

FlexiRank™

Powerful asset ranking framework that supports user-defined ranking criteria and synthetic risk statistics.

Holdings

Holdings-Based Analysis of hedge funds and FoF across all asset classes including equities, fixed income etc.

CRM & Document Manager

Document management and due diligence tools for alternative investments and multi-manager funds.

Index Builder

Advanced quantitative framework to create custom benchmarks and factor subsets that ensure the best fit for any asset.

Custom Assets

Tools to create and maintain a virtual database of user-defined assets within the Risk Shell environment.

Portfolio Optimization

Optimization of multi-manager funds, fund of funds and multi-asset portfolios across a broad range of objective functions.

Portfolio What-If

Portfolio What-If Analysis to create and analyze hypothetical portfolios based on actual investment portfolios.

Report Builder

Report Builder delivers a flexible SaaS based reporting solution designed for hedge funds, fund of funds and multi-asset portfolios.

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