Sophis provides a full coverage of financial instruments

Here are a few examples of how VALUE can help hedge fund managers to support their alternative investments.

Click on the strategies

Long/Short

For all long/short strategies, VALUE offers:

	Long/short indicators of any consolidated portfolio
	Long/ short Delta calculation: VALUE allows to calculate the beta-weighted sum of Delta, but also the ‘Long Delta’ (sum of the Deltas that are positive) and the ‘Short Delta’ (sum of the Delta that are negative). This indicators are consolidated at every level: position, strategy, sub-strategy, sector, market, or the whole fund.
	Calculation of leverage impact on P&L
	Extensive extractions for sector analysis

Convertibles arbitrage

VALUE is particularly good for convertible-based strategies. It offers the following functionalities:

	Convertible bond transaction
	Real-time calculation of P&L and all Greeks
	Pricing models: 5 models (hybrid model credit equity, 1 and 2 factors)
	Positions can be marked to market or to fair value and be seamlessly compared over time in the system.
	Stock short selling
	Stock borrowing
	Equity option short selling
	Interest rate hedging with bond futures
	Credit hedging with credit default swap
	Risk limits management, limits on Greeks (Gamma and Vega for instance)
	Convertibles on Line (COL) provides the terms of the convertibles and market history. It helps hedge fund managers to identify convertibles within the market that can lead to interesting arbitrage strategies.

Volatility arbitrage

Sophis has a long experience in volatility trading for investment banks. RISQUE is widely used by market makers in leading institutions worldwide. In depth volatility analysis in VALUE enables to treat volatility as a tradable asset. VALUE offers:

	Real-time Greeks and NAV calculation
	Flexible marking of volatility arbitrage positions
	Implied volatility calculation
	Volatility curves
	Automatically loading the implied volatilities from listed options prices
	Graphical volatility interpretation
	Real-time Link to Microsoft Excel for a more flexible interface

Global macro - Fixed income

For alll fixed income strategies, VALUE provides:

	A full instruments coverage: bonds, futures, IR futures, caps&flors, repos, swaps.
	Risk calculation functionality: rho, convexity, bucket analysis by maturity.
	Multi interest rate curves management.
	Credit Risk and Credit Default Swaps
	Aggregation of all assets and derivatives’ risks and results in real-time,
	Handling stock loans for the use of leverage.

Fixed income high yield

VALUE allows to actively manage high yield securities, FRN, step-up, and brady bonds. The guarantees on the coupons or the principal of the bonds can be represented and priced as asset swap in the system, which allows a sensible analysis of credit risk.

Statistical arbitrage

For this strategy, VALUE offers:

	A full support of all types of contract enabling to sell securities short (securities lending, CFD, options, futures, equity swaps).
	Real-time calculation of all risks and risk limits (strategies with a high level risk).
	Calculation of customised indicators: storage and limits management of these indicators.
	Connection of fund managers’ proprietary tools to VALUE via APIs, or integration into VALUE via a Worksheet or a Toolkit project.

Funds of funds

A fund is treated as a portfolio or as an instrument by VALUE. This notion enables easier funds of funds management with a transparent analysis of risks through funds:

	Equities: by security, sector
	Forex: by currency
	Credit: by issuer, sector
	Commodities: term structure
	Fixed income: term structure, coverage