SwissAnalytics
Profiling Report
The profiling report is the result of our initial analysis/due diligence of a single hedge fund or fund of hedge funds top-down.
The report comprises around 32 pages. This is a short overview over some of these pages.
The report comprises around 32 pages. This is a short overview over some of these pages.
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The front page of the profiling report provides information about: - Date of creation - Date of evaluation - Type and content - Version numbering | |
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Comprehensive comments on different topics. Here comments to the quantitative analysis. | |
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This is the overview over what we call the 'Loss Framework'. This framework is part of the qualitative analysis and focuses on those risk factors which are mainly responsible for losses. Examples are Fraud, Theft, High Leverage or Sensitivity to External Shocks. The factors are scored independently and in dependency to each other. | |
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This is one of several pages of the qualitative analysis. Our 'Profiling Framework' covers over 100 so called 'soft' risk factors on Manager level as well as on Fund level. Each factor is scored and a confidence level is provided which gives additional information about the accuracy of the rating. Extreme scores ('Red Flags') will be highlighted and commented on. | |
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This page is a summary of our quantitative analyses, which are based upon the return series of the Fund since inception. The Fund is compared against its benchmark, and equity and a bond proxy. | |
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This page shows the same fields, however it is based upon a return series since 1997. If the Fund's real-life period is shorter we use our multiple-regression analysis to simulate returns for the past to get a longer history to look at. | |
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Our Monte-Carlo simulation tests the fund 10'000 times and shows you the results given two confidence levels of 95 % and 99 %, respectively. You will be able to assess the risk at the given confidence levels as well as beyond these levels (extreme scenario). We calculate 10 important risk figures such as the maximum drawdown, standard deviation as well as higher moments such as Skewness and Kurtosis. | |
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This page is one of many detail pages on the quantitative analysis. Information like the rolling return, drawdowns, return distribution and correlations to the benchmark and important indices is shown, both in numbers and in charts. | |
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Our homogeneity tests also compare the Fund against benchmark and proxies. This is a helpful tool to figure out if a Convertible Arbitrage Fund is really following a convertible arbitrage strategy. | |
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A very important part of our quantitative analysis is our innovative multiple-regression style analysis. The goal is to be able to explain the return development of the investment with the help of traceable, and where possible replicable, indices. This allows us to simulate the investment in a stress situation that has already happened, such as the Asian crisis, the LTCM debacle or more recently, the credit crisis - events which may have taken place prior to the funds' existence. | |
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This is a graphical depiction of how the Fund did perform, or would have performed given that our regression analysis holds, during stress scenarios. | |
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Performance tables will give an overview over the performance development of the Fund. Yellow coloured cells indicate simulated values. We also show the development of assets under management which also plays an important role in the qualitative analysis, for example during the assessment of the managers' Fraud risk. |
