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Quant Suite: Fund of Funds Software Print E-mail

With the recent explosion of interest to hedge funds from the largest institutions hedge funds of funds (FoF) have become increasingly popular by emerging as the priority choice of institutional and even private investors.

Despite the distinct benefits of constructing FoF investment vehicles, the industry still suffers from great misunderstanding and traditional speculation. On the one hand, soaring hedge fund returns and continuously raising interest to the industry make an illusion of “easy money”. On the other hand, poor understanding of unique hedge fund problems and a misinterpretation of risk management lead to cloning mediocre or too risky fund portfolios generating unpredictable returns. The future of successful investing in FoF is in expertise and intelligence. Quant FoF solutions help you get there.


Select the screened funds from the entire hedge fund universe as a fund basket and instantly get all the applicable risk metrics. Constructing a perfect portfolio implies hundreds (if not thousands) of tests. That is why Quant portfolio engine has been designed to combine intuitive simplicity with a powerful valuation models and immediate test results. For the more advanced analysis it even includes custom adjustment of distributions of return functions, thus opening unlimited possibilities for the heuristic portfolio design.


Fund of funds analytics software. Similar to single hedge funds, FoF evidence a high degree of nonnormality of their distributions of returns that make the classic mean-variance risk valuation inapplicable. To address these problems Quant provides a broad choice of alternative valuation techniques based on the distribution analysis, VaR derivatives and high moments.


Stochastic simulation and stress testing. Quant Portfolio test module includes stress testing as well as sensitivity analysis of economic factors and constituent funds. In simple terms, it allows you to see how fluctuations in the underlying funds' performance or changes in economic environments may affect your portfolio. The embedded stochastic simulation engine is based on the advanced Latin Hypercube simulation techniques. Quant Suite includes two types of investment fund stress testing: factor and event stressing. Using factor stress testing you may easily analyze how extreme movements of driving factors would effect portfolio returns. The event stressing model is different - it offers numerous "what if" scenarios replicating known devistating past events.


Fund of funds optimization software. The complexity of FoF optimization is derived from the non convexity of the objective functions when employing advanced downside tail metrics (for example, VaR derivatives or Omega statistics). In simple words, it leads to a multi-extreme objective function, which makes all common optimization routines worthless. This is the reason why Quant Optimum incorporates non-linear optimization as well as  global optimization methods based on genetic algorithms. Though the underlying models are not simple, a practitioner does not need to look "under the hood". The only thing required is to select an objective function with a set of constraints, while the system will take care of the rest. The advanced optimization mode includes custom coding of virtually any objective functions and constraints (ex. liquidity, neutrality, strategy drifts etc.).

Find driving factors

Manager performance attribution and style analysis. A commonly overlooked step in building a robust FoF is to identify the major market factors driving the fund's performance. Quant framework offers both the spot and rolling factor (or performance attribution) return based style analysis based on multiple regression and principal component analysis. These tools open a new dimension for proactive portfolio rebalancing in anticipation of changes in market or economic conditions.