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Products
Features/Benefits
Highly flexible portfolio management environment includes consistent framework for domestic and international securities.
- Investment managers can manage their global portfolios according to their individual investment styles and security holding preferences.
- Daily-updated, forward-looking conditional risk estimates of securities, and combinations of securities, that adapt optimally to unforeseen market shocks.
- Protects investment managers from being surprised by new sources of risk in their portfolios. “Fat-tailed” unconditional distribution of market returns.
- Provides more realistic estimation of market risk and returns.
- Reliable and efficient procedures for measuring portfolio exposures to characteristics such as industry/sector, size, momentum, P/E, dividend yield, price-to-book, style, etc.
- Investments managers can easily and flexibly take into account the drivers behind the performance of their portfolios.
- Easy to model and control partial and total exposure to user defined characteristics and/or user defined portfolios.
- Investment managers can tailor their risk exposure profiles and choose how to benchmark their portfolios against established indices or customized portfolios.
- Integrated specialized optimizer with broad set of tunable and user-defined parameter inputs, including trading costs.
- Simplifies what-if scenario analysis and implementation of unique investment strategies, while taking into consideration the impact of trading costs.
- User-friendly graphical interface, desktop folders and broad set of utilities that provide optimized portfolio viewing, universal analysis, charting, audit trailing and report generation capabilities.
- Useful for both “bottom up” or “top down” up-to-date portfolio management and external client reporting purposes.
- Simultaneous optimization of both total portfolio risk and tracking error.
- International portfolios can be chosen to take advantage of “alphas” stemming from the average investor’s home-country bias (this bias makes passive index strategies inefficient)
- Easy to incorporate user specific valuation estimates of individual securities, while taking into account total portfolio impact
- Innovative investment strategies for clients. Examples include: Buy-write/Volatility arbitrage strategies; “Alpha Transport” Structures.
Client Profiles
Our clients include enhanced index and index-tracking fund managers, domestic U.S. and international long-short equity hedge funds, investment advisors, equity derivatives traders, companies taking correlation into account in CDO ratings, and funds involved in PIPES transactions.
Quantal Risk Forecasts
This product delivers daily updates of our global conditional volatility and correlation estimates for direct input into users’ risk management systems, derivatives pricing models, and basket trading models. Our global risk estimate adapts itself quickly to structural shifts in the securities universe by placing more emphasis on the recent past and by using reliable daily data and stable procedures that estimate the factor structure implicit in security “returns” (Why the quotes? ) behavior. Our global securities universe includes all traded equity securities worldwide.
On a daily basis, the internal team of experts and automated control processes consistently monitor the quality of the securities data in order to provide highly reliable and stable risk forecasts to our customers and partners.
DJIQ
Specialized application, offered in conjunction with Dow Jones Index Products, which enables users to construct and manage portfolios built around the Dow Jones Indexes.
Consulting Services
Innovative solution to complex valuation and risk management problems; Recent engagements include the valuation of equity private placements, automated equity trading applications, complex equity derivative valuations and risk assessment, PIPES, customized and continuing applications for innovative hedge fund design.
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