Customized analytical solutions designed to support and complement the investment- and portfolio-management decision-making process. This spans the spectrum from designing hedging and risk-mitigation solutions, to developing frameworks to facilitate security and portfolio analysis, to researching topical risk-reward relationships in equity and macro markets. Recent representative examples include:

Hedging related:

• single-stock, thematic-basket and portfolio-level hedging prescription with correlated basket of stocks, ETFs and indices, including detailed risk-return-correlation and hedged P&L analysis
• portfolio-optimization analysis, subject to portfolio-construction constraints, to suggest “model” weightings, including detailed risk-return-correlation and hedged P&L analysis

Macro & factor related:

• portfolio sensitivity to major macro factors encompassing equity, rates & credit, currency and commodity asset-class spectrum: correlation matrix, scatter-plot distributional analysis, macro-factor stress test and stock-level correlation ranking
• composite macro-factor influence on portfolio stocks using high-level, sequentially “de-correlated “ macro factors (equity, rates & credit, currency and commodity factors)
• environmentally-pertinent, macro-contingent market analysis (for e.g., SPX vs. UST10y regime relationship, risk-premium vs. duration-based, and SPX industry responsiveness contingent on regime behavior)
• macro regime-change early-warning indicator: multi-term moving-average correlation of macro factors (equity, rates & credit, currency and commodity factors); graphical and tabular analysis
• macro relative-value diagnostic: SPX rich/cheap barometer vs. macro factors (equity, rates & credit, currency and commodity factors); graphical and tabular analysis
• stock-level correlation sensitivity, exposure aggregation by correlation bucket, and portfolio-level stress testing and hedge analysis to extreme macro factor draw-down/claw-back episodes (equity, rates & credit, currency and commodity factors)
• S&P large-, mid- and small-cap component stocks fundamental factor decomposition over given horizon: correlation-decomposition, scatter-plot representation and performance bucketing by “alpha” generators
• implied equity-risk premium and ST, MT and LT fundamental equity rich/cheap signals
• composite and component inter-asset class greed-fear metric and ST z-score macro risk gauge across equity, rates & credit, currency and commodity factors
• weekly macro review of rates, foreign exchange, commodity, equity and hedge-funds

Stock screens:

• stock universe factor-ranked screen using sentiment, price & earnings momentum, earnings revision, valuation, leverage and profitability factors
• implied free cash-flow and contrarian short-interest- and analyst-ranking-based stock screens
• liquidity and operating constraint-based (sector-specific and stock-level exposure) universe-sizing algorithm

Options related:

• framework for evaluating option alternatives for given exposure/premium objectives
• option-pricing simulation framework to value indifferent fee pricing over various lockup horizons
• implied probability of impending bankruptcy via equity and option information using Merton’s option-value-of-the-firm methodology: CDS linkage via implied probability of default

Other:

• detailed risk-return-exposure attribution and alpha analysis at fund, sector and analyst level; return decomposition into stock-selection and sector-allocation alpha, market-timing and market-directional return
• predictive ability/inability of various sentiment indicators, including VIX, risk reversals, Market Vane’s bullish-consensus survey etc.
• S&P 500 index, sector, industry and stock response to prior Fed ease/hike cycles including performance evolution at equivalent real Fed-Funds level
• gold adjusted for fundamental asset-class factors
• broker-ranking analysis based on research and execution polling criteria

Proprietary and confidential to Risk Advisors