Investment Analytics

We provide an analytical toolkit with capabilities including customized negative beta overlays, historical portfolio return attribution,  benchmark analysis and low cost replication, return and risk estimation, automated smart replication and portfolio optimization. 

 
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Negative Beta Overlays

Custom solutions tailored to a portfolio risk profile that provide a hedge to systematic market risks at a low cost employing a dynamic mix of derivatives, volatility and index products.

 

Custom Benchmarks

Tool to optimize benchmarks to risk / return objectives, especially in fixed income where multi-sector benchmarks don’t capture risk well. Automated portfolio construction for improved risk adjusted fixed income returns vs. benchmarks

 

Performance Analyzer

Customized to a portfolio (and its benchmark if applicable), the Performance Analyzer identifies the factors / mix of passive portfolios that most closely match the risk profile of the return stream

 

Asset Allocation

Customized tools for asset allocation and optimization based on proprietary return and risk estimation, specialized for fixed income portfolios

 

ESG / Impact Solutions

Analytics to optimize financial and ESG objectives optimally customized to the client’s ESG and financial preferences, exclusions, and impact objectives

 

 

Negative Beta Overlays

  • As markets are in the late phase of their cycle, solutions with low risk beta are in high demand

  • We provide a product that provides negative beta / correlation to risk markets at a low cost

  • Accomplished using mix of derivatives in credit, equities, and fx markets

  • A multi asset solution utilizing multiple categories asset  and utilizing instruments to hedge systematic risks and customize return distributions 

 

 

Custom Benchmarks

  • Tool to optimize benchmarks to risk / return objectives, especially in fixed income where multi-sector benchmarks don’t capture risk well.

  • Can use to assess portfolio performance vs most representative benchmarks

  • Replicators: Most of the beta and alpha with automated long only products

  • Overlays: Most of the beta and alpha with a lot less cash (using derivatives but very careful use of limits and leverage)

 

 

Performance Analyzer

  • Customized to a given portfolio, the Analyzer identifies the factors / mix of passive portfolios that most closely match risk profile of return stream

  • This analysis can then be used to calculate “true” alpha / beta metrics for the given portfolio 

  • It can also be used to build replicating portfolios that provide competitive risk/returns at low cost

 

 

 

Asset Allocation

  • Improved asset optimization tools, leveraging existing top approaches followed, with customization for fixed income portfolios

  • Automated portfolio construction for improved risk adjusted returns vs. benchmarks

  • Behavioral and other dynamic models for asset allocation

  • Machine learning techniques to optimize sector / risk budget allocation and incorporate risk parity approaches

  • Anti fragility / tail risk emphasis to help with market timing and choosing asset allocation

 

 

 

 ESG / Impact solutions

  • Quantamental / NLP driven screens to identify optimal ESG / Impact portfolio

  • Potential solutions to allow investors custom exposure to key elements – low carbon footprint, gender equality, water sustainability, etc.  

  • Automated asset selection tools  for custom solutions