AltenativeSoft has released a new version of its HFOptimizer fund of funds construction platform allowing users to rate funds both quantitatively and qualitatively.
The quantitative rating is done automatically by the software and is based mainly on extracting a rolling alpha, on the current manager drawdown, on the modified value-at-risk and on the unexplained manager volatility. The qualitative rating is based on the analyst's inputs. Finally, the quantitative rating and the qualitative rating are combined to give a final rating for each hedge fund.
It has been shown in recent academic papers (Kat and Menexe, 2002 or Herzberg and Mozes, 2003), that risk - standard deviation, correlation, maximum drawdown - persists which is not the case for return which tends to mean-reverts. The principle behind HFOptimizer is to use extreme risks to build funds of funds for the future without using historical returns.
"Before our software was ready with this new hedge fund rating module, we had clients asking to test it,' says Laurent Favre, founder of Swiss-based AltrenativeSoft AG. 'We have a strong demand for this rating module.'
HFOptimizer, can be downloaded, for 30 days free trial, from AlternativeSoft's website at www.alternativesoft.com