IBN Quant Research & Analysis Service 2015

Quantitative Research & Analysis Service

IBN TECHNOLOGIES LIMITED

www.ibntech.com © 2015 IBN Technologies Limited. All rights reserved.

http://www.ibntech.com/

ISO 9001:2008 Company

Overview

Quantitative Research & Analysis Services

In Finance Market, the volume of data available for analysis

has increased dramatically. Yet too often data is not fully

leveraged as an investment asset because of trim analytical

staff and information overload. IBN Quantitative Research

services can assist you by applying advanced statistical

technique to help you get more from your data, this will help

you in making better Investment Decisions. IBN Quantitative

Research team works closely with Fund Managers/Fund

Research Team/Onshore Analysts and assists them in:

Addressing your Investment Concern

DECISIONS

PORTFOLIO OPTIMIZATION

RISK ANALYSIS

PERFORMANCE ANALYSIS

QUANT RESEARCH

Performance Analysis

Statistical Analysis of Returns

Risk/Return Analysis

Alpha-Beta Analysis

Correlation & Sensitivity Analysis

Volatility Analysis

VAR Analysis

Global Risk Analysis

Momentum Analysis

Portfolio Optimization

Advanced Quantitative Research

o Artificial Intelligence

o Clustering

o Modeling

o Optimization


Overview Conti..


IBN Quantitative Research team develops and delivers the advanced research and analytics

required by Fund Managers and Investment Management Team which help them in verifying

investment decisions and evaluating the risk adopted.

Helping you Achieve your Investment Goals

Team:Team of professionals with more than 5+ years of experience with following educationalbackground:

India’s Top Engineering Colleges/IITS/

Certified Professionals CFA, CMA, CFM, CPA, etc

Experience:Data Exploration, Modeling, Simulation and Optimization Techniques:

Technology: Excel-VBA, MatLab, R, C++, ASP.Net, Microsoft SharePoint

Software: Portfolio Management software like Advent, Cogendi, TAO Analytics, FC Back Office, Risk Data Engine, Paxus and other Proprietary software


Process Flow


• IBN Data Team tracks & report data as per requirement

• Data tracked in excel or client’s database

IBN Data Team

•Work Closely with client research team and develops analysis tools

• Submit the analysis to Fund Manager/research team

IBN Quantitative Research Team • Analysis Reviewed by

Fund Manager and Research Team

•Based on analysis makes investment decision

Client

IBN’s Quantitative Teamdevelops and deliversModels independently onsubject matter

Models delivered as per Client’s requirement

Requirement & Instructions given by Client for Model


Quant Solutions to Investment Managers


Quantitative & Risk Analysis

Top Risk Analysis

Extreme Value Theory based VaR

Cornish-Fischer Expansion based VaR

Monte Carlo Simulations based VaR

Principal Component Analysis based Clustering

Performance Attribution

Exposure Analysis – Geofocus, Sector & Market Cap

Quantitative Fund Snapshot

Portfolio Analysis:

Portfolio Optimization Tool

Proforma Portfolio

Fund to fund Correlation matrix

Index Construction

List of Sample Quant Solutions Developed by IBN


Fund Historical Track Record

Monthly Performance Table highlighting negative returns of Fund & Benchmark and showing year end returns (YTD)


Note: Sample Data used for above example


Drawdown Analysis

Drawdown Analysis highlighting start of downwardreturns, its length and recovery period with dates foreach drawdown




Statistical Analysis & Financial Ratios Summary

Statistical Summary highlighting Fund basicstatistics in comparison to benchmarks



Omega Ratio Chart of Fund against selected benchmark



Omega Ratio Chart



6M Annualized Rolling Return Chart

Annualized 6 Month Rolling Return chart highlighting6(or selected rolling window) months Rolling Annualizedperformance in comparison to selected Benchmarks




6M Rolling Correlation

Annualized 6 Month Rolling Correlation chart highlighting6 (or selected rolling window) months rolling volatility incomparison to selected Benchmarks




6M Rolling Beta

Fund Rolling Beta chart highlighting 6 (or selected rollingwindow) months rolling beta with selected benchmarks.




Monthly Return Distribution Chart

Distribution of Returns in Comparison to Normal Distribution




Historical Value At Risk

Historical VAR Report chart highlighting Isolated & Marginal VAR


Name of Fund Strategy $ Amount Weight VolatilityIsolated

VaR $ 99

Isolated

VaR % 99M.VaR $ 99

M.VaR %

99

M. VaR %99

Per Unit

Allocs

M. 18M

Ret

M. 18M Ret /

M.Var % 99 Per

Unit Allocs

Diversification Benefit =28.83% 1,819,783.03 100.0% 3.2% 21,556.59 100.0% 15,341.59 100.0%

XYZ Fund VaR 0.8%

Libor 3M CASH 1,143,520.25 62.8% 0.6% 4,691.77 21.8% 1,473.21 9.6% 0.15 55.3% 3.62

ABC Fund Discretionary Trading 494,647.10 27.2% 10.5% 15,679.25 72.7% 13,161.41 85.8% 3.16 51.6% 0.16

MNO Fund Multi Strategy Event Driven 181,615.68 10.0% 7.9% 1,185.57 5.5% 706.96 4.6% 0.46 -6.9% -0.15



RiskData Value At Risk

VAR Report chart highlighting VAR &Risk/Return Contribution




Correlation Matrix Report

Jan-09 to Dec-11

Fun

d 0

1

Fun

d 0

2

Fun

d 0

3

Fun

d 0

4

Fun

d 0

5

Fun

d 0

6

Fun

d 0

7

Fun

d 0

8

Fun

d 0

9

Fun

d 1

0

Fun

d 1

1

Fun

d 1

2

Fun

d 1

3

Fun

d 1

4

Fun

d 1

5

Fun

d 1

6

Fun

d 1

7

Fund 01 1.00

Fund 02 0.86 1.00

Fund 03 0.15 0.12 1.00

Fund 04 0.64 0.64 0.15 1.00

Fund 05 0.20 0.20 -0.07 0.20 1.00

Fund 06 -0.06 -0.23 0.15 -0.16 -0.08 1.00

Fund 07 0.37 0.38 -0.09 0.46 0.26 0.14 1.00

Fund 08 0.40 0.42 0.20 0.09 0.60 0.02 0.29 1.00

Fund 09 0.69 0.73 0.15 0.28 0.01 -0.03 0.27 -0.01 1.00

Fund 10 0.58 0.70 0.24 0.59 0.17 0.06 0.63 0.43 0.41 1.00

Fund 11 0.82 0.74 0.20 0.58 0.11 -0.12 0.34 0.38 0.63 0.60 1.00

Fund 12 0.29 0.45 0.11 0.29 -0.04 -0.25 0.23 0.59 0.22 0.43 0.29 1.00

Fund 13 0.67 0.66 0.22 0.50 0.29 -0.36 0.26 0.73 0.51 0.33 0.64 0.59 1.00

Fund 14 0.39 0.29 0.12 0.24 -0.04 0.13 0.16 -0.12 0.42 0.19 0.24 0.41 0.51 1.00

Fund 15 -0.10 0.02 0.05 -0.35 -0.07 -0.09 -0.15 0.14 -0.16 0.06 0.05 0.02 0.06 1.00

Fund 16 0.32 0.28 0.16 0.57 0.07 0.04 0.43 0.56 0.08 0.40 0.27 0.45 0.54 0.28 -0.16 1.00

Fund 17 0.63 0.65 -0.15 0.60 0.19 0.19 0.59 0.26 0.39 0.79 0.66 0.22 0.17 0.01 -0.64 0.34 1.00

XYZ Portfolio

Correl Matrix




Contact Us


USAIBN Technologies (US) LLC

108 West 13th Street, Wilmington, Delaware 19801

UK – LondonIBN Technologies Limited (Reg – FC031335)26 Barclay Road, Croydon, Surrey CR0 1JN

Global Delivery Center (India)IBN Technologies Limited

CyberNex, 4th Floor, Shankar Sheth Road, Swargate, Pune, Maharashtra 411037, India.T : +91 20 24264182/4183 F: +91 20 24264184 E: [email protected]

mailto:[email protected]

Documents

IBN Quant Research & Analysis Service 2015