logo
SPC provides consulting excellence in analytics, data management and reporting services to small and medium enterprises.
Feel Free To contact Us

+91 20 6524 2455

info@spconsultingllp.com

Mont Vert Marc, Pune, India

+91 20 6524 2455

Mont Vert Marc, Pune, India

Top

Risk Monitoring System for L/S Equity Market Neutral Hedge Fund

Risk Monitoring System for L/S Equity Market Neutral Hedge Fund
Investment

The Problem

SPC’s long short equity market neutral hedge fund, an asset management client was confronting a challenge wherein the fund had equity total return swap with reference fund. The fund acquired data from three varied sources.

  • Trade and position data from administrator Societe Generale
  • Reference position data from administrator Morgan Stanley ‘Matrix Platform.
  • Price data for over thousand underlying stock positions and certain risk measures obtainable from Bloomberg.

To analyze and integrate databases from all three sources and to generate a customized dashboard was a daunting task. The client had a limited budget for software technology as the fund was in advance stage. We at SPC with a pioneering effort from expert analytics and business intelligence team came up with a remarkable solution.

The Solution

SPC began two-week process to blueprint and elaborate a streamlined database with an assistance of MS access app for SharePoint that reconcile data from three varied databases to form a cloud based database with MS access as a front end but data get stored in SQL Azure.

In the succeeding stage, MS Excel based tools were developed that collect data from varied sources and inserts that into a newly designed centralized database.

After a prolonged discussion with the client, our financial risk management team came up with a live risk monitoring dashboard without manual intervention. This personalized service delivered an impactful outcome to the client.

Microsoft Power BI due its feasibility and advance features in graphics and computations, was preferably adopted by our analytics experts. We utilized R, an open source software, as a computational engine to calculate risk parameters and some statistics which is not available from Bloomberg. R integrates easily with Power BI.

The dashboard subsumes reports as below:

  • Overview of the fund with its historical performance across the share classes, allocation breakdown, AUM movement etc.
  • Deeper Insights into FX hedging (For example: How much currency is hedged? What actions are required? Whether equity is hedged in equity total return swap?)
  • Evaluating performance: Juxtaposition of Historical performance against different benchmarks, various absolute and relative statistics, rolling period statistics.
  • Monitoring of UCITS III and IV.
  • Exposures: Monitoring of portfolio exposure to Market capitalization, sectors, geography, top positions, bottom positions etc.
  • Risk: Market risk, operational risk, factor exposures, VAR, Stress test, liquidity risk and risk limits.

SPC demonstrated its unique approach through technology enabled outcome that allows client organization to gain new business value. Client organization had a great seamless experience by using live portfolio risk monitoring system as it endeavored several benefits like:

  • It can be easily accessed from desktop, tab or mobile phone.
  • Daily data update process needs only 10 minutes.
  • The dashboard gets updated automatically when database gets updated.
  • The productivity and efficiency at client has increased and the fund manager can focus more on the investments.
  • Monthly cost incurred by the client on software technology is USD 40.
Client

Long Short Equity UCITS Hedge Fund

Industry

Asset Management

Function

Risk Management

Challanges

  • To develop a live dashboard without manual interventions
  • Analyzing and integrating the data from three varied sources

Solution

  • Designed and elaborated a cost efficient centralized database
  • An advanced dashboard with deeper insights in crucial risk measures

Benefits

  • Risk Monitoring at a click
  • In-depth knowledge of Risk
  • Boost productivity

Technologies Used

  • Database: MS Access App for share point , SQL Azure as back end.
  • Computation: R
  • Dashboard, Reporting: Power BI

Date