As a quantitative risk analyst, you know the importance of well-constructed sets of explanatory variables for factor analysis and stress testing. Identifying such variables or factors is not a trivial task, especially when it comes to alternative assets with exposures to complex instruments across various markets. Risk Shell Index Builder makes that task easier by offering advanced tools for a factor (benchmark) selection.

Key Benefits

  • Instantly identify the best fit factor subset for any given instrument
  • Create a custom user-defined index, benchmark or proxy
  • Find appropriate indices or benchmarks for any asset classes
  • Maintain an accurate and holistic view of factor diversification

Key Features

  • Quantitative index search filters
  • Elastic-net, LASSO and Rigid regression
  • Akaike Information Criterion (AIC)
  • Principal Component Analysis
  • Correlation heat maps
  • Unlimited user-defined factor subsets
  • Scree Plot (index set)
    Scree Plot (index set)
  • Principal Component Analysis
    Principal Component Analysis
  • Akaike information criterion
    Akaike information criterion
  • Index search models
    Index search models

Risk Shell Components

Advanced analytics for multi-asset investment portfolios

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 tailored to alternative investments.

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.

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