Hedge Fund Consulting Projects

Over nearly twenty years of working almost exclusively for alternative investment firms, we have designed, created, deployed and supported dozens of custom applications and reports. Below, you'll find a brief summary of some of those projects.

bullet Cash Transfer Instruction System (CTIS)

This application provides the accounting and operations group with an automated way to create the many cash movement instructions that the client requires for settlements, interest and dividend payments and receipts as well as for many other transactions types. The application was originally designed to interface with the Hedgeware accounting system and selected custodians.

bullet Collateralized Debt Obligations (CDO) Surveillance Database

The fund that requested this application needed a way to consolidate data located across many large, Excel workbooks. They also were seeking to upgrade from the single user (write) Excel environment to a true, multiuser user solution. We created a Microsoft SQL solution that gave them these benefits beyond what the Excel solution had been providing:

  • Provided sector based custom user interfaces with unique datasets and calculations based on the remittance data available for each sector including ABS, CMBS, MBS and CDOs
  • Provided a stable environment necessary for the manipulation and analysis of large quantities of data
  • Provided multi-user functionality with the ability to grant or restrict access by user and track updates/changes made by each user
  • Provided a centralized repository for remittance data which reduced redundant data and added efficiency
  • Provided the ability to track the ABX and CMBX indices and benchmark portfolio holdings to the appropriate index.
  • Provided ability to analyze performance (Prepayment, Default, Delinquency, and Severity) trends by security, shelf and sector
  • Provided the ability to create exception reports to catch erroneous data
  • Provided the ability to sort the monthly remittance data to highlight deals with negative monthly performance
  • Provided the ability to quickly determine which securities have exposure to certain servicers and/or issuers
  • Provided the ability to stress the delinquency pipelines and see the effect of future losses on the capital structure

bullet P&L Allocation Application & Database with SharePoint Integration

The hedge fund that this program was designed for wanted a way to measure analysts' and portfolio managers' performance at the trade level. Ultimately, their performance as reported by our application, drove their compensation. Our design utilized a rule based allocation method that could be manually overridden to allocate P&L responsibility to each trade, dividend and corporate action. The reporting features enabled the hedge fund to measure performance by either the trade or position. The flexibility enabled the analysts to participate in the performance of the firm's investments at their own discretions.

bullet F/X Reconciliation

This application performs a daily reconciliation of F/X positions between the client and their counter parties. The application parses sets of position files, determines matched positions and prints a series of exception reports for those positions which do not match. Because of the technology used, the application can run on either NT clients or UNIX servers.

bullet Employee Trading Compliance

The client is a registered investment adviser and as such maintains very strict trading requirements for its employees. This application monitors all employee trading activity and reports trading violations.

bullet Finance Application

The application manages financing relationships with nearly two-dozen counter parties. Charges and balances are reconciled, including those for short positions. The primary function of the application is to determine the most advantageous way of financing the portfolio.

bullet Cash Reconciliation

Automatically reconciles cash movements and balances between the client and their counter parties.

bullet F/X Reporting System

Reports on settlement requirements.

bullet Commodities/Futures Margin System

Manages projected margin needs. Calculates variation margin.

bullet Interface Documentation Project

Documented the interface, which includes the data flow and record layouts, between the many custom and commercial applications used by the client.