Transparency Analytics

TRΛNSPΛRΣNCY ΛNΛLYTICS®

R I S K - A I , L L C

P R E S E N T A T I O N

40 WALL STREET, 28TH FLOOR NEW YORK, NY 10005-1304

TEL: (212) 400-7176FAX: (646) 512-5819

EMAIL: [email protected]: WWW.RISK-AI.COM

INTRODUCTION


TEL: (212) 400-7176FAX: (646) 512-5819


I. Transparency Analytics® is a state-of-the-art risk management analysis and research platform for Investment Advisors,

Funds of Funds, Family Offices and other investors managing multi-fund portfolios.

II. Transparency Analytics® tools are based on our extensive quantitative analysis and due diligence of hedge fund

managers. Over the last year alone Risk-AI professionals analyzed close to one hundred hedge funds. Lessons learned

from such analysis are incorporated into the tools offered by Transparency Analytics®.

III. Transparency Analytics® is cloud based and can be accessed from multiple locations with an Internet access, such as the

office, home, investment conference, client meeting or business trips, and can be viewed from any modern laptop or

tablet device including the iPad®.

IV. Transparency Analytics®'s tools range from basic statistical analysis, to more sophisticated applications such as Multi-

Variable Style Analysis, Market Regime Analysis, Red Flag Identification, Scenario Analysis, Monte Carlo Simulations, and

Portfolio Optimization. All analyses are presented in a simple to use and intuitive web interface with an innovative way

to visualize sophisticated tools. Most analyses, as well as PDF reports can be accessed with just a couple of mouse

clicks.

TABLE OF CONTENTS


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I. FUND ANALYSIS.

II. PORTFOLIO ANALYSIS.

III. OTHER

I. Fund Portal page provides quick access to all fund

related information.

II. Users can access data from one of the leading

hedge fund database providers as well their own

sources.

III. The page provides links to all fund reports (both

online and PDF)

IV. Users can also upload documents (such as

monthly letters, DDQ etc) and enter due diligence

notes.

FUND PORTAL


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I. Risk Dashboard provides unique,

yet intuitive view of the fund’s

risk / return profile.

II. Two large gauges represent the

fund’s return and volatility.

III. Six linear gauges show fund’s

exposure to major risk factors.

IV. Five smaller circular gauges

show the fund’s risk profile

based on Illiquidity, Relative

Leverage, Downside Risk,

Expected Tail Loss and

Systematic Risk statistics.

RISK DASHBOARD


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I. Snapshot report provides quick overview of the fund’s

strategy, performance, services providers and risk

drivers.

II. Basic Statistics report shows most commonly used risk

statistics for the funds.

III. Performance analysis report provides snapshot of the

worst / best months for the fund.

IV. Performance attribution report puts the fund’s recent

performance in historical context.

V. Rolling Reports show the changes in the fund’s risk /

return profile over time.

PERFORMANCE REPORTS


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I. Peer Analysis report identifies the closest peers and

compares the fund performance to that of the peers

II. Style Map report provides unique way to examine the

fund’s correlation to the peer group and examine the

fund’s performance in context of relative leverage.

III. Fund Comparison report compares various risk

parameters of two funds side by side.

PEER COMPARISON


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I. Correlation analysis shows the fund’s beta and

correlation to over three hundred risk factors.

Correlations are shown over the entire period and also

broken down into up / down market correlations.

II. Style analysis report provides information about the

fund’s exposures to various risk factors using multi-

variable factor models. The system provides a number

of predesigned models and allows user to set up new

models. Stepwise analysis is used to identify the most

statistically significant risk factors.

III. Non-Linear analysis is used to analyze the fund’s

sensitivity to large movements in risk factors.

STYLE ANALYSIS


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I. Tail Risk Report is used to analyze the fund’s theoretical

performance during either historical stress events or

parallel shocks to major risk factors.

II. Market Regime Analysis shows the fund’s performance

during various market regimes such as Flight To Quality,

Bull Market or Treading Water.

III. Scenario Analysis provides interactive tools to examine

fund’s performance due to customizable shocks to

various risk factors.

TAIL RISK


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I. Monte Carlo simulation provides investors with ability

to examine the fund’s performance under thousands of

various scenarios.

II. Investors can chose from multiple regime and factor

models and can run simulation over various time

intervals.

III. Investors can also configure custom regime scenarios.

MONTE CARLO


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I. Red Flag report is used to identify unusual patterns (red flags) in the fund’s

performance / risk profile

II. Currently six flags are used

I. High Serial Correlations – May be sign of illiquidity or return smoothing

II. High Beta to Strategy – May be sign of excessive leverage

III. Low Correlation to Strategy – May be sign of misclassification

IV. Volatility is Too Low – Potential fraud or return smoothing.

V. Abnormal Return (Strategy) –May be sign of style drift.

VI. Abnormal Return (Historical) – May be sign of style drift.

RED FLAGS


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I. Portfolio Portal page provides quick access to all

portfolio management and reporting functions.

II. Investors can change allocations, portfolio

constraints and get access to risk reports

III. Most of the reports described in previous section

apply to portfolio as well.

IV. Portfolio specific reports are described in the

following slides

PORTFOLIO PORTAL


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I. Portfolio Dashboard provides quick view into

portfolio risk exposures.

II. Two large gauges shows annualized return and

volatility of the portfolio.

III. Six linear gauges show portfolios risk exposures to

major risk factors.

IV. Pie chart shows portfolio allocation by strategy.

V. “Spider Web” chart shows risk attribution by

strategy.

PORTFOLIO DASHBOARD


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I. Risk Attribution Dashboard quickly identifies

major contributors to portfolio volatility

II. Each box represents a fund.

III. The size of each box represents the absolute

allocation to the fund.

IV. The color of each box represents the risk

contribution of each fund.

RISK ATTRIBUTION DASHBOARD


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I. Detailed Risk Attribution Report drills down into

portfolio performance during either historical or

theoretical shocks.

II. Attribution is performed both on Strategy and

Fund level.

III. Report also drills down into sources of portfolio

beta vs. major risk factors.

RISK ATTRIBUTION


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I. Portfolio Correlation Matrix is calculated in three

different conditions.

I. Overall track record

II. During positive equity markets

III. During negative equity markets

DIVERSIFICATION ANALYSIS


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I. Portfolio Fit Report provides quick way to run

potential investments by their fit into the target

portfolio.

PORTFOLIO FIT REPORT


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I. Portfolio Optimization provides investors with

tools to create optimal portfolios that satisfy

various constraints.

II. Constraints can be set on

I. Fund Exposure

II. Strategy Exposure

III. Liquidity Profile

IV. Factor Exposure

III. Users can also override expected return for any of

the funds.

PORTFOLIO OPTIMIZATION


TEL: (212) 400-7176FAX: (646) 512-5819


I. Access to major hedge fund database

II. Strategy Portal for major hedge fund indexes

III. Risk profile ranking of all funds within each

strategy.

IV. News scan for news mentioning any of the funds

in Transparency Analytics® platform.

V. Custom Fund Analysis – Risk-AI professionals are

available to assist with analysis and interpretation

of Transparency Analytics® output.

OTHER TOOLS


TEL: (212) 400-7176FAX: (646) 512-5819


CONTACT US


TEL: (212) 400-7176FAX: (646) 512-5819


Σ Online: http://www.TransparencyAnalytics.com

http://www.Risk-AI.com

Σ Email: [email protected]

Σ Phone: (212) 400-7176

Σ Address:

Risk-AI, LLC

40 Wall Street, 28th Floor

New York, NY 10005

Business

Transparency Analytics