Products & Services
FOFiX
The Industry Standard for Fund of Funds Risk Management
Specifically developed for Funds of Hedge Funds and Investors, Riskdata’s FOFiX is a complete performance and risk profiling solution combined with a risk based portfolio construction tool. It enables FoHF to structure and apply a risk budgeting approach, consistently throughout the entire investment process. FOFiX uses methodologies that account for Long-term, short-term, non-linear and extreme behavior of hedge funds strategies.
FOFiX offers a wide range of advanced and robust decision-oriented analyses. It allows the users to obtain not only a clear picture of the “Snap-shot of a fund’s portfolio” but of the “Dynamics” of each Hedge Fund as well. FOFiX enables FoHF managers to streamline their fund selection & monitoring process in-line with their portfolio construction objectives. FOFiX treats hedge funds as an asset class, accounting for their statistical specificities to achieve superior control over risk/return parameters.
Operating in a complex environment where transparency is an important issue, FoHFs now have a tool particularly adapted to this evolving context. FOFiX maximizes the use of available heterogeneous information and give the user means to turn qualitative views into quantitative profiles. FOFiX permits easy aggregation of performance/risk measures up to the Fund of Funds level and simulates the impact of portfolio changes on prospective risks and performance profiles. FoHFs can produce state-of-the-art risk reports for the most demanding investors.
Its specialised set of risk and performance factors allows for an in-depth analysis of funds under “focussed review” and permits an efficient early discovery of new talents. It provides quantitative findings that can guide qualitative discussions with each individual manager.
Key Product Features
Risk and Performance Profile
FOFiX assesses the sensitivity profile of each Hedge Fund against an extensive set of factors. A highly-explanatory picture of the impact of market conditions on each strategy is provided. The user can then discuss the findings with the manager and adjust these profiles accordingly.
Multi-frequency NAV Analysis
FoFiX provides weekly, daily and monthly analysis of fund Net-Asset-Values and NAV estimates. Its support for Mixed-Frequency or incomplete series largely eases the daily work.
Flexible Time-Window Analysis
Profiling can be performed in user–defined time windows to match the anticipated market conditions, or the horizon of investments. FOFiX can measure the stability or drift in time of each fund’s profile.
The Risk profile is calculated on a series of fund NAVs. This fund is exposed mainly to credit and volatility risks.
Data + Software All-in-One
Access on-line the widest range of daily cleaned and pre-processed data, integrated in real-time with all Riskdata applications. FOFiX provides a Factor Set specifically tailored for Hedge Funds, however Power-Users can apply or test their own factors.
Extreme Movement Estimation
FOFiX performs a detailed analysis of the extreme fund movements searching for explanatory factors even outside known crises. Impact measures are made through conditional extreme sensitivities.
Complete Risk Analysis of Transparent Funds
FOFiX provides a complete tool to efficiently exploit the positional transparency that certain funds provide. FOFiX performs portfolio-level risk simulation, using Riskdata’s cutting-edge methodology. It creates multi-level aggregated figures and computes numerous indicators such as Value-at-Risk Marginal and Incremental VaR. User-Friendly structuring of risk allows the highlighting of risk concentration within a few clicks.
Powerful Replication Analysis
Select automatically among a large number of risk factors the small subset that best explains the risk of a portfolio.
Transparent Portfolios: When positions are provided, detailed Multi-level risk analysis can be conducted.
Standard & Advanced Risk Methodology
All the classical higher order statistical analyses of time series are provided. Advanced techniques such as co-integration or causality inference are available as well. Linear and non-linear factors are included in the factor set. Full revaluation Monte Carlo simulation in high-dimensions is used to effectively measure the Value-at-Risk.
'What-if' Analysis
Users can easily simulate the impact of allocation changes on the Fund of Funds profile. The effect of adding or removing a hedge funds from the portfolio can also be assessed.
Peer-Group Analysis
FOFiX helps in selecting the most appropriate peer-groups or benchmarks and performs their comparisons.
This above examples demonstrate the addition of a new Hedge-Fund to the existing portfolio, and its impact on the portfolio's profile and VaR. Most Funds in this portfolio are exposed to volatility risk.
FOFiX Key Benefits
Broaden Investor Reach
By structuring risk management all along the investment process you establish an institutional-level risk transparency with the most demanding clients.
Demonstrate Superior Risk Diversification
FOFiX provides the most advanced quantitative tools and data to detect unwanted sources, levels or concentrations of risk. As market conditions evolve FOFiX assists you in adding hedges and adjusting your portfolio to better match its target profile.
Increase Productivity of the Investment Process
FOFiX helps to extract and merge quantitative information from available heterogeneous sources, thus facilitating the work of the research team. It quickly produces highly-explanatory decision-oriented findings that help steer qualitative discussions with the fund managers.
Improve Internal and Client Communication
Senior management can readily monitor risk allocation and quickly detect drifts or changes in managers’ strategies. Marketing can produce easy-to-understand charts and risk profiles thereby accomplishing better client communication.
Broaden Manager Access and Pre-empt new talents
Take full advantage of the “Focussed Review” process to detect and assess the profile of new managers by efficiently using the data made available to you by the funds. FOFiX helps you invest in new talents before they become known.
Power-Users can leverage their Research
Gain a competitive advantage by testing faster your research ideas, and incorporating your proprietary factors. A wide range of Fund Proxies can be built to represent internally developed models. Research can easily develop prototypes through the seamless EXCEL integration.
Save on Disruption Time and IT Costs
Riskdata’s pre-integrated product is immediately operational and saves implementation time. FOFiX is intuitive to use with a very short learning curve. Moreover, Riskdata’s unique technology that generates daily pre-simulations, requires no investment in costly processing power.
Strategy Coverage:
FOFiX is suitable for all types of funds, including:
- Long-Short Equity
- Yield Curve Arbitrage
- Fixed Income
- Market Neutral
- Global Macro
- Merger Arbitrage
- Multi Strategy
- Event Driven
- Emerging Market
- Convertible Arbitrage
- Credit Arbitrage
- High Yield
- Volatility Arbitrage
- Statistical Arbitrage
To keep-up with the industry’s increasing sophistication, Riskdata continuously works with Hedge Funds, Funds of Funds, consultants, and leading researchers to enrich and fine-tune its dedicated factor set and quantitative methods.
Contact Riskdata Today to Order FOFiX
For more information and to request a FOFiX price quote, follow to contact us page or call one of our offices below:
Paris Office: +33 1 44 54 35 00
London Office: +44 (0)20 3170 8056
New York Office: +1 (212) 931 5794
“Using FOFiX to screen hedge fund managers gives us a quantitative understanding of the contribution of each of our hedge fund managers to our overall risk profile, both in terms of marginal value at risk, as well as by tracking the systemic risks. We recognize that Riskdata has become the market leader in hedge fund risk management in Europe and the US over the last few years.”
Albert Maass,
General Manager of the Office of the Chief Investment Officer
Shinsei Bank
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