Investment Research On Demand
ABC Quant provides project-based and ongoing quantitative research using the same analytical models and databases available in Risk Shell. Research can cover an individual fund, a manager universe, an existing portfolio or a proposed allocation.
The scope is defined with the client in advance: investment universe, benchmarks, peer groups, risk measures, factor sets, portfolio constraints and reporting requirements can all be specified for the assignment.
Fund Risk Assessment
Independent quantitative review of a fund or manager using risk, return, factor, peer-group and downside analysis.
- Risk and return statistics
- Peer Group Analysis
- Factor and style analysis
- Drawdown and tail-risk analysis
- Stress-test results
Portfolio Construction & Optimization
Construction or review of multi-asset portfolios using Risk Shell's nonlinear optimization and risk-budgeting models.
- Portfolio Optimization
- Risk Budgeting
- Liquidity constraints
- Factor and stress-test constraints
- Optimization backtesting
Portfolio Risk Review
Analysis of an existing portfolio to identify concentrations, weak diversification and positions that dominate portfolio risk.
- Marginal risk contribution
- Correlation and diversification
- Factor concentration
- Liquidity profile
- Portfolio What-If Analysis
Portfolio Stress Testing
Assessment of portfolio behaviour under historical events, factor shocks and user-defined stress scenarios.
- Historical extreme events
- Factor-based stress tests
- Distribution-based stress tests
- Custom stress scenarios
- Stress-Test Database covering 500K+ instruments
Macroeconomic & Factor Research
Custom factor models for funds, portfolios and investment universes, including analysis of behaviour under selected market conditions.
- Factor Best-Fit models
- LASSO, PCA, AIC and Ridge
- Dynamic factor analysis
- Trend Segmentation™
- Macroeconomic Scenario Screening™
Custom Quantitative Research
Research assignments that combine Risk Shell analytics, proprietary data and client-defined methodology outside the standard research programs.
- Custom investment universes
- User-defined benchmarks and factors
- Custom screening criteria
- Comparative manager analysis
- Client-specific reports and output