IBN Quant Research & Analysis Service 2015

IBN TECHNOLOGIES LIMITED
Quantitative Research & Analysis Service
www.ibntech.com
2015 IBN Technologies Limited. All rights reserved.
Overview
ISO 9001:2008 Company
Addressing your Investment Concern

In Finance Market, the volume of
data available for analysis
PORTFOLIO
OPTIMIZATION
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
QUANT
RESEARCH
DECISIONS
you in making better Investment Decisions. IBN Quantitative

Research
team
works
closely
with
Fund
Managers/Fund
Research Team/Onshore Analysts and assists them in:

PERFORMANCE
ANALYSIS
Performance Analysis
Momentum Analysis
Statistical Analysis of Returns
Portfolio Optimization
Risk/Return Analysis
Advanced Quantitative Research
Alpha-Beta Analysis
Artificial Intelligence
Correlation & Sensitivity Analysis
Clustering
Volatility Analysis
Modeling
VAR Analysis
Optimization
Global Risk Analysis
Quantitative Research & Analysis Services
RISK ANALYSIS
Overview Conti..
Helping you Achieve your Investment Goals

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.
Team:
Team of professionals with more than 5+ years of experience with

background:
following educational
Indias 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
IBNs Quantitative Team

develops and delivers
Models independently on
subject matter
IBN Data Team tracks &

report data as per
requirement
Data tracked in excel or
clients database
IBN Quantitative
Research Team
Work Closely with client
research team and
develops analysis tools
Submit the analysis to
Fund Manager/research
team
IBN Data Team
Analysis Reviewed by
Fund Manager and
Research Team
Based on analysis makes
investment decision
Client
Requirement & Instructions

given by Client for Model
Models delivered as
per Clients
requirement
Quant Solutions to Investment Managers

List of Sample Quant Solutions Developed by IBN

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
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 downward

returns, its length and recovery period with dates for
each drawdown

Statistical Analysis & Financial Ratios Summary

Statistical Summary highlighting Fund basic

statistics in comparison to benchmarks
Omega Ratio Chart

Omega Ratio Chart of Fund against selected benchmark

6M Annualized Rolling Return Chart

Annualized 6 Month Rolling Return chart highlighting

6(or selected rolling window) months Rolling Annualized
performance in comparison to selected Benchmarks
6M Rolling Correlation
Annualized 6 Month Rolling Correlation chart highlighting

6 (or selected rolling window) months rolling volatility in
comparison to selected Benchmarks
6M Rolling Beta
Fund Rolling Beta chart highlighting 6 (or selected rolling

window) months rolling beta with selected benchmarks.

Monthly Return Distribution Chart

Distribution of Returns
in Comparison to
Normal Distribution

Historical Value At Risk

Name of Fund
XYZ Fund VaR

Libor 3M
ABC Fund
MNO Fund
Strategy
Diversification Benefit =28.83%

0.8%
CASH
Discretionary Trading
Multi Strategy Event Driven
$ Amount
Weight Volatility
Isolated Isolated
M.VaR %
M.VaR $ 99
VaR $ 99 VaR % 99
99
1,819,783.03 100.0%
3.2%
21,556.59 100.0%
15,341.59
100.0%
1,143,520.25 62.8%
494,647.10 27.2%
181,615.68 10.0%
0.6%
10.5%
7.9%
4,691.77
15,679.25
1,185.57
1,473.21
13,161.41
706.96
9.6%
85.8%
4.6%
21.8%
72.7%
5.5%
M. VaR %99
M. 18M Ret /
M. 18M
Per Unit
M.Var % 99 Per
Ret
Allocs
Unit Allocs
0.15
3.16
0.46
55.3%
51.6%
-6.9%
Historical VAR Report chart highlighting Isolated & Marginal VAR

3.62
0.16
-0.15
RiskData Value At Risk

VAR Report chart

highlighting VAR &
Risk/Return Contribution

Correlation Matrix Report

Correl Matrix
XYZ Portfolio
Fund 01
Fund 02
Fund 03
Fund 04
Fund 05
Fund 06
Fund 07
Fund 08
Fund 09
Fund 10
Fund 11
Fund 12
Fund 13
Fund 14
Fund 15
Fund 16
Fund 17
Fund 17
Fund 16
Fund 15
Fund 14
Fund 13
Fund 12
Fund 11
Fund 10
Fund 09
Fund 08
Fund 07
Fund 06
Fund 05
Fund 04
Fund 03
Fund 02
Fund 01
Ja n- 09 to De c- 11
1.00
0.86
1.00
0.15
0.12
1.00
0.64
0.64
0.15
0.20
0.20
-0.07 0.20
-0.06 -0.23 0.15
1.00
1.00
-0.16 -0.08 1.00
0.37
0.38
-0.09 0.46
0.26
0.14
1.00
0.40
0.42
0.20
0.09
0.60
0.02
0.29
0.69
0.73
0.15
0.28
0.01
-0.03 0.27
-0.01 1.00
0.58
0.70
0.24
0.59
0.17
0.06
0.63
0.43
0.41
1.00
0.82
0.74
0.20
0.58
0.11
-0.12 0.34
0.38
0.63
0.60
1.00
0.29
0.45
0.11
0.29
-0.04 -0.25 0.23
0.59
0.22
0.43
0.29
1.00
0.67
0.66
0.22
0.50
0.29
0.73
0.51
0.33
0.64
0.59
1.00
0.39
0.29
0.12
0.24
-0.04 0.13
-0.12 0.42
0.19
0.24
0.41
0.51
1.00
-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
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
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
-0.36 0.26
0.16
1.00

1.00
Contact Us
USA
IBN Technologies (US) LLC
108 West 13th Street, Wilmington, Delaware 19801
UK London
IBN Technologies Limited (Reg FC031335)
26 Barclay Road, Croydon, Surrey CR0 1JN
Global Delivery Center (India)

IBN Technologies Limited
CyberNex,
Floor, Shankar Sheth Road, Swargate, Pune, Maharashtra 411037, India.
T : +91 20 24264182/4183 F: +91 20 24264184 E: info@ibntech.com
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IBN TECHNOLOGIES LIMITED

Quantitative Research & Analysis Service

2015 IBN Technologies Limited. All rights reserved.

Addressing your Investment Concern

data available for analysis

has increased dramatically. Yet too often data is not fully

you in making better Investment Decisions. IBN Quantitative

Research Team/Onshore Analysts and assists them in:

Statistical Analysis of Returns

Advanced Quantitative Research

Correlation & Sensitivity Analysis

Global Risk Analysis

Quantitative Research & Analysis Services

Helping you Achieve your Investment Goals

Team of professionals with more than 5+ years of experience with

Indias Top Engineering Colleges/IITS/

Data Exploration, Modeling, Simulation and Optimization Techniques:

Quantitative Research & Analysis Services

IBNs Quantitative Team

IBN Data Team tracks &

IBN Data Team

Requirement & Instructions

Quantitative Research & Analysis Services

Quant Solutions to Investment Managers

List of Sample Quant Solutions Developed by IBN

Quantitative Research & Analysis Services

Fund Historical Track Record

Note: Sample Data used for above example

Drawdown Analysis highlighting start of downward

Note: Sample Data used for above example

Statistical Analysis & Financial Ratios Summary

Statistical Summary highlighting Fund basic

Omega Ratio Chart

Omega Ratio Chart of Fund against selected benchmark

6M Annualized Rolling Return Chart

Annualized 6 Month Rolling Return chart highlighting

Annualized 6 Month Rolling Correlation chart highlighting

Fund Rolling Beta chart highlighting 6 (or selected rolling

Note: Sample Data used for above example

Monthly Return Distribution Chart

Note: Sample Data used for above example

Historical Value At Risk

XYZ Fund VaR

Diversification Benefit =28.83%

Historical VAR Report chart highlighting Isolated & Marginal VAR

Note: Sample Data used for above example

RiskData Value At Risk

VAR Report chart

Note: Sample Data used for above example

Correlation Matrix Report

-0.06 -0.23 0.15

-0.16 -0.08 1.00

-0.04 -0.25 0.23

-0.35 -0.07 -0.09 -0.15

Note: Sample Data used for above example

Global Delivery Center (India)

Quantitative Research & Analysis Services

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