Investment Research Programs
ABC Quant investment research programs cover the full analytical process from individual fund assessment to portfolio construction and optimization. Assignments can focus on a single manager or portfolio, or combine several research areas within one project.
All research is carried out using Risk Shell analytical models, including peer analysis, factor models, stress testing, portfolio risk decomposition and nonlinear optimization.
Fund Risk Assessment
Quantitative assessment of hedge funds and alternative investment vehicles using risk, return, factor, peer-group and stress-test analysis.
Portfolio Risk Assessment
Portfolio-level analysis covering marginal risk contribution, diversification, correlation, factor exposure, liquidity and stress-test results.
Portfolio Construction
Manager and asset selection combined with allocation and diversification analysis, risk budgeting and portfolio constraint testing.
Portfolio Optimization
Nonlinear optimization of hedge fund, fund of funds and multi-asset portfolios using multiple objective functions and user-defined constraints. Market-neutral portfolios.
Operational Due Diligence on Hedge Funds
Combined quantitative and qualitative manager assessment using peer analysis, factor models, stress testing, DDQ data and proprietary research fields.
Style Analysis
Static and dynamic factor analysis of manager exposures, strategy characteristics and style drift using Risk Shell attribution analysis and factor-selection models.
Strategy Enhancement
Review of portfolio structure using factor, scenario, stress-test and optimization models to identify concentration, allocation and risk-budgeting issues.
Research programs can be commissioned individually or combined within a broader manager, portfolio or investment-strategy review.