Fixed Income Quantitative Analysis


GENESIS: Comprehensive Fixed-Income Analysis & Portfolio Management Suite

GENESIS is the GFA analytical platform that supports the quantitative analysis central to our activities. There are 5 major modules which can be accessed separately or in a unified system. All of the GFA consulting services draw upon this same environment. A distinguishing feature of GENESIS is its broad coverage which includes traditional fixed income, municipal bonds, and a wide range of derivative products. An integrated database supports all of the modules including extensive input data for the various analyses.

BONDMAX: providing multiple structured optimization strategies for your portfolio

Portfolio optimization can be thought of as a method for quantifying the optimal integration of risk and return expectations with desired portfolio objectives and policy. BondMax provides users with an easy to use analytic platform with which they can perform state-of-the-art fixed income portfolio optimization strategies.

BONDSENS: Return Simulation/What If Scenario Analysis

As a portfolio manager, you need to know how your portfolio may react to changes in the market environment. BondSens can not tell you what interest rates will do in the future or how spreads will change, but it can tell you how your portfolio will respond to possible future changes.

BONDPAR 2: Bond Performance Attribution Report

BondPar2 is a fixed income performance attribution module which decomposes total portfolio return into components to provide a more precise characterization of portfolio behavior. The various sources of return include the market environment, duration management, sector, individual bond selection and trading activity. Globally diversified portfolios can also be evaluated along with the effects of currency and hedging exposures. Municipal bond portfolios can also be accommodated.

PRSCAN: Risk Profile Analysis For Your Portfolio and Individual Securities

PRSCAN provides the user with a comprehensive analysis of a fixed-income portfolio. The analyses range from a basic portfolio risk analysis statistic to a more complex analysis such as functional duration, and cross-sectional analysis.