Hedge Funds - APT Risk Model & Portfolio Analytics Solutions
APT's integrated multi-factor models are ideally suited to hedge funds. Model design is theoretically-driven, does not rely on pre-specifying factors, is based on an objective, statistical estimation method, and therefore gives unbeatably accurate risk and volatility forecasts.
If you're turning over high volumes, are highly leveraged, or are exposed on the short side, you need to be confident that your risk figures really hold up.
Because APT's statistical risk models are intended to be accurate first and foremost, all model estimations are based wholly on the Arbitrage Pricing Theory, don't assume a normal distribution of market returns, and are built using only the most clean and widely-scrutinized data - giving the most accurate risk models available.
And because they use a single, consistent, theoretical approach, all asset classes - including equities, currencies and bonds, government or corporate, converts and CDSs, ETFs, futures and options - are seamlessly integrated. So you can measure risk and calculate hedges without arbitrary divisions.
We have specialized packages of risk models, reporting software and hedging tools for hedge funds including:
- Equity Long/short
- Equity Market Neutral
- Global Macro
- Emerging Markets
- Equity and high yield corporate long/short
- Fixed Income Arbitrage
- Statistical Arbitrage
- Volatility Arbitrage
- Event Arbitrage
- Merger Arbitrage
- Managed Futures
APT's risk models are especially suitable to hedge funds because they are available in short-term and medium-term formats, with 0-4 week and 1-6 month optimal forecast horizons, so you can use a model which best suits your turnover profile.
Because of their integrated construction method, they are flexible enough to decompose the sources of risk in the fund using the set of factors which are most powerful for the fund - currency, country, sector, style, fundamental, economic, interest rate (shift, butterfly, twist) and user-defined factors.
The risk models all have very wide coverage, including almost every security from every major exchange, totaling over 200,000 globally, so you can be confident your small cap strategies will not be constricted by the risk system. User-defined securities can be added for cases where APT does not have data, or when you want to model a single security's behavior in a proprietary way.
Most commercial risk models assume markets behave with normally distributed market returns. APT uses non-normal risk analytics which give robust risk estimates that will be accurate even when the market becomes distressed.
APT's models are not built from 'pre-specified factors', such as fundamental factors, proprietary risk indexes, or any other 'hybrid risk model' approach. All such techniques are subject to serious mis-specification, and assume that fundamentally flawed starting positions can be corrected later. APT relies instead on objective, statistical techniques from the start.
All our software is designed to work long/short, and the long/short reports are constructed with long/short concerns in mind. APT's hedge funds tools include:
- APTxVAR Excel add-in, the entire range of APT analytics in the form of an Excel add-in, allowing real-time volatility monitoring from live price feeds
- APTPro, a comprehensive risk management application providing connectivity to popular file formats, the range of APT analytics and optimization, error checking, and reporting & graphing tools
APT started its life as a hedge fund, designing tools to satisfy our own risk management needs. So we understand what works well for hedge funds.
Back-loaded costing available for qualifying start-up hedge funds.
Take a look at what other software, risk models and portfolio analytics are available, or contact APT for a presentation, demonstration and example risk report for your fund or book.
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