TRΛNSPΛRΣNCY ΛNΛLYTICS

Transcription

1 TRΛNSPΛRΣNCY ΛNΛLYTICS RISK-AI, LLC PRESENTATION

2 INTRODUCTION I. Transparency Analytics is a state-of-the-art risk management analysis and research platform for Investment Advisors, Funds of Funds, Family Offices and other investors managing multi-fund portfolios. I Transparency Analytics tools are based on our extensive quantitative analysis and due diligence of hedge fund managers. Over the last year alone Risk-AI professionals analyzed close to one hundred hedge funds. Lessons learned from such analysis are incorporated into the tools offered by Transparency Analytics. Transparency Analytics is cloud based and can be accessed from multiple locations with an Internet access, such as the office, home, investment conference, client meeting or business trips, and can be viewed from any modern laptop or tablet device including the ipad. IV. Transparency Analytics 's tools range from basic statistical analysis, to more sophisticated applications such as Multi- Variable Style Analysis, Market Regime Analysis, Red Flag Identification, Scenario Analysis, Monte Carlo Simulations, and Portfolio Optimization. All analyses are presented in a simple to use and intuitive web interface with an innovative way to visualize sophisticated tools. Most analyses, as well as PDF reports can be accessed with just a couple of mouse clicks.

3 TABLE OF CONTENTS I. FUND ANALYSIS. I PORTFOLIO ANALYSIS. OTHER.

4 FUND PORTAL I. Fund Portal page provides quick access to all fund related information. I Users can access data from one of the leading hedge fund database providers, as well their own sources. The page provides links to all fund reports (both online and PDF) IV. Users can also upload documents (such as monthly letters, DDQ, etc.) and enter due diligence notes.

5 RISK DASHBOARD I. Risk Dashboard provides unique, yet intuitive view of the fund s risk / return profile. I Two large gauges represent the fund s return and volatility. Six linear gauges show fund s exposure to major risk factors. IV. Five smaller circular gauges show the fund s risk profile based on Illiquidity, Relative Leverage, Downside Risk, Expected Tail Loss and Systematic Risk statistics.

6 PERFORMANCE REPORTS I. Snapshot report provides quick overview of the fund s strategy, performance, services providers and risk drivers. I Basic Statistics report shows most commonly used risk statistics for the funds. Performance analysis report provides a snapshot of the worst / best months for the fund. IV. Performance attribution report puts the fund s recent performance in historical context. V. Rolling Reports show the changes in the fund s risk / return profile over time.

7 PEER COMPARISON I. Peer Analysis report identifies the closest peers and compares the fund performance to that of the peers. I Style Map report provides a unique way to examine the fund s correlation to the peer group, and examines the fund s performance in context of relative leverage. Fund Comparison report compares various risk parameters of two funds side by side.

8 STYLE ANALYSIS I. Correlation analysis shows the fund s beta and correlation to over three hundred risk factors. Correlations are shown over the entire period and also broken down into up / down market correlations. I Style analysis report provides information about the fund s exposures to various risk factors using multivariable factor models. The system provides a number of predesigned models and allows user to set up new models. Stepwise analysis is used to identify the most statistically significant risk factors. Non-Linear analysis is used to analyze the fund s sensitivity to large movements in risk factors.

9 TAIL RISK I. Tail Risk Report is used to analyze the fund s theoretical performance during either historical stress events or parallel shocks to major risk factors. I Market Regime Analysis shows the fund s performance during various market regimes such as Flight To Quality, Bull Market or Treading Water. Scenario Analysis provides interactive tools to examine fund s performance due to customizable shocks to various risk factors.

10 MONTE CARLO I. Monte Carlo simulation provides investors with ability to examine the fund s performance under thousands of various scenarios. I Investors can chose from multiple regime and factor models, and can run simulations over various time intervals. Investors can also configure custom regime scenarios.

11 RED FLAGS I. Red Flag report is used to identify unusual patterns (red flags) in the fund s performance / risk profile. Currently six flags are used: α β γ δ ε ζ High Serial Correlations May be a sign of illiquidity or return smoothing. High Beta to Strategy May be a sign of excessive leverage. Low Correlation to Strategy May be a sign of misclassification. Volatility is Too Low Potential fraud or return smoothing. Abnormal Return (Strategy) May be a sign of style drift. Abnormal Return (Historical) May be sign a of style drift.

12 PORTFOLIO PORTAL I. Portfolio Portal page provides quick access to all portfolio management and reporting functions. I Investors can change allocations, portfolio constraints and get access to risk reports. Most of the reports described in previous sections apply to portfolio as well. IV. Portfolio specific reports are described in the following slides.

13 PORTFOLIO DASHBOARD I. Portfolio Dashboard provides quick view into portfolio risk exposures. I Two large gauges show annualized return and volatility of the portfolio. Six linear gauges show portfolio s risk exposures to major risk factors. IV. The Pie chart shows portfolio allocation by strategy. V. The Spider Web chart shows risk attribution by strategy.

14 RISK ATTRIBUTION DASHBOARD I. Risk Attribution Dashboard quickly identifies major contributors to portfolio volatility. I Each box represents a fund. The size of each box represents the absolute allocation to the fund. IV. The color of each box represents the risk contribution of each fund.

15 RISK ATTRIBUTION I. Detailed Risk Attribution Report drills down into portfolio performance during either historical or theoretical shocks. I Attribution is performed both on Strategy and Fund level. Report also drills down into sources of portfolio beta vs. major risk factors.

16 DIVERSIFICATION ANALYSIS α Portfolio Correlation Matrix is calculated in three different conditions: I. Overall track record. I During positive equity markets. During negative equity markets.

17 PORTFOLIO FIT REPORT I. Portfolio Fit Report provides a quick way to rank potential investments by their fit into the target portfolio.

18 PORTFOLIO OPTIMIZATION α β Portfolio Optimization provides investors with tools to create optimal portfolios that satisfy various constraints. Constraints can be set on: I. Fund Exposure I Strategy Exposure Liquidity Profile IV. Factor Exposure γ Users can also override expected returns for any of the funds.

19 OTHER TOOLS I. Access to a major hedge fund database. I Strategy Portal for major hedge fund indexes. Risk profile ranking of all funds within each strategy. IV. Built-in scan for online news mentioning any of the funds within Transparency Analytics platform. V. Custom Fund Analysis Risk-AI professionals are available to assist with analysis and interpretation of Transparency Analytics output.

20 CONTACT US Σ Address: Risk-AI, LLC 14 WALL STREET, 20TH FLOOR, SUITE 2060 New York, NY Σ Online: Σ Σ Phone: (212)