Fund of Hedge Funds - APT Risk Model and Portfolio Analytics Solutions
APT produces risk systems designed for all types of Funds of Hedge Funds (FOHFs), whether defined by fund constituents, or historical NAVs. FOHF managers can build and monitor portfolios of funds, estimate risk, measure performance, and decompose the data into useful and intuitive reports.
APT's factor models and analysis software provide tailored solutions for FOHF requirements including:
- Portfolio risk estimates (either using a factor model or Monte Carlo techniques)
- Risk attribution (bottom-up or top-down)
- Scenario analysis (adjust volatility and value of any factors, funds and/or securities)
- Stress testing (using a choice of assumptions or distributions, historical or parameterized)
- Strategy simulation (at any frequency, regular or irregular, long or short periods)
- Performance attribution (with fund performance data provided)
- Fund screening and comparative manager selection (using over 75,000 fund profiles provided)
Risk and Performance attribution can be carried out using various factors including:
- Currency
- Country
- Sector
- Term structure
- Yield curve
- Style
- Hedge fund strategy
- Non-linear hedge fund factors
For FOHF managers who use complete security-level constituent data for the funds, APT's widely-used, multi-asset model provides unbeatable reliability and versatility. Profiles for almost all instruments from each asset class are provided in frequently updated models, and the models are 'open' so users can import new or proprietary instruments at any time.
Modelled securities include:
- Equities
- Government bonds
- Emerging debt
- Corporate bonds
- Floating rate notes
- Inflation-linked notes
- CDSs
- Indexes
- ETFs
- Funds
- Hedge Funds
- Convertibles
- Options and futures on any underlying instrument
Running analyses using the full composition of the funds is the most reliable solution, if the constituents are up to date. In this case any task such as portfolio construction, revision, risk forecasting, risk attribution, scenario analysis, stress testing, etc, is computed with maximal reliability.
For those FOHF managers without up-to-date constituent data or who prefer to rely on audited NAV data, APT's FOHF model has been specially designed to deal with the unique properties of hedge funds returns, and makes the best possible use of all the data available in the market. This model is built from the most widely used hedge fund data sources, comes with tens of thousands of profiles already estimated, and is an open system, letting the user upload any additional funds.
The system is available at different price points, and in different software applications including a web-based ASP application, a desktop application suite, MS Excel® Add-ins, or even COM or XML-based programming tools for integration with existing systems.
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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