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Portfolio Analysis

Today's increased competitive pressure in quantitative fund management drives funds to explore custom quantitative analysis methods. To be effectively used, these methods have to be implemented in software, a process which is typically characterized by long turnaround times and high costs. While simple methods may be realized with spreadsheet applications, this approach quickly becomes impractical as method complexity and fund universe sizes grow.

With dipBase™, fund managers are able to explore and develop complex and scalable quantitative analysis methods without relying on software development experts, resulting in much quicker turnaround times and dramatically lower costs. Furthermore, the ability to instantly explore new ideas fosters innovation and thereby leads to an competitive edge.

Creating a custom analysis method in dipBase™ simply consists of drawing a flow-chart of the desired function. Existing functions are represented as nodes in graph that are connected by edges that represent data flow. As a basis for user-defined functions, the system contains a comprehensive library of predefined functions for:
  • Mathematics and logic
  • Statistical and financial analysis
  • Time series processing
  • Manipulation of sets and lists
  • Access to dipBase's central repository

This library can easily be augmented by user-defined functions.

As an example, the task of selecting all funds in the Eurasian fund universe that are highly correlated to the performance of a certain index would be accomplished in three steps. Firstly, a predefined correlation function is connected to the index in question, forming a new function that calculates the correlation with this index. This function is then used to transform the set of all Eurasian funds, generating a set of funds annotated with correlation values. Finally, all correlation values above a certain threshold are removed from this set by a filter function, which leads to the desired result.

(This example was inpired by a study executed by Gecam AG for the german business magazine "Capital" - capital.de, 16.06.2008. In this study, the correlations of 7252 funds to their respective benchmarks were examined.)

As the example shows, dipBase™ immensely simplifies the execution of such studies. With dipBase™, fund managers can plan and execute even more complex studies in hours instead of weeks or months.

Portfolio analysis in dipBase.

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