Research & Analysis

At CIS we value the commitments and realize the importance of quantitative research. Different levels of analysis are done prior to any investment process. At CIS we are continuously revising our proprietary tools in order to adjust to the current market conditions as well developing new Alpha indices. Hence, it has to be mentioned that the following diagram just depicts a snapshot of our analysis.

The Portfolio Management Tool is the internal master tool for CIS, that combines the features of all other described analysis models. Its goal is to control and monitor special key indicators of a portfolio as well as to assist in structuring and ramping-up a new portfolio.

Portfolio Management Tool relies on inputs from all the other tools explained earlier.

The tool features gives an analysis on the risk impact on the whole portfolio when studying possible additions/subtractions.

At the portfolio level it is also used as a risk management tool to model different scenarios. The tool also generates reports for various analyses.

As the markets are always subject to change, predictive analysis is a key factor in deciding the investment space at CIS.

At CIS, a CLO is recreated by changing the parameters to anticipate different scenarios. The tests are usually done to forecast good, bad and worst case scenarios.

The model aims to stress different inputs in a CLOs performance and therefore challenges each CLO for its sustainability.

Input parameters are made up of market data CLO manager specific Alpha components, plus other factors.

The CIS investment strategy is to spot the best manager and deal for any investment for a period. This task is accomplished with the guidance of Peer Group Analysis tool which constructs multiple comparisons based on the analysed manager signatures using different alpha components.

The tool compares the manager performance against the prevailing market statistics; it correlates the performance of different managers; and weighs one deal against another.

As deals in same entity (Vintage/CLO Universe) have some common elements, the comparison within and outside these entities is something which aids the investment process at CIS.

Further, it is possible to define a weighting for each indicator based on the individual preferences and to derive an internal rating.

  • The "Manager Signature" is a CIS proprietary research tool. A considerable number of alpha carrying components (risk and performance indicators) are analysed on a monthly basis at CIS.

  • The sterilised data from the Database serves as the input parameter for the analysis.

  • Analysis is carried out on approximately for 4 to 6 CLOs per manager with a minimum history of 60 months - preferably through stressed markets.

  • The tool analyses as well as monitors the performance patterns of the CLO manager and its core team.

Key Features of the tool includes:

  • Identifying manager behaviour in a regular/stressed environments.

  • Tracking of the risk components and spotting the risk appetite of the manager.

  • Interpreting the potential style shifts of the manager.

  • Pinpointing the performance gains and losses.

The CIS database serves as a library for all our analysis. This is built out of the raw data from monthly reports, note valuation reports and the legal basis of the SPV as described in the indenture and the offering memorandum of each CLO.

The raw data often has errors/ biases so it is checked for its plausibility, mathematical logic as well as its integrity to allow a proper and complete analysis of clean data.

As the raw data undergoes different levels of cleaning, it is converted into a uniform format to allow an in depth analysis.

The data extraction and cleaning process are automated nevertheless it is also randomly checked manually for completeness.