i-calc

FVC has acted as an independent index calculation and verification agent for a wide range of vanilla, thematic and algorithmic indices through its i-calc service. Over the last ten years, FVC has handled several hundred indices for several major investment banking clients. We have built up a comprehensive index calculation capability based on our wide ranging experience in indices and other investment methods and solutions.

FVC handles a wide variety of indices, focusing on the complex. The strategies that we have already covered include volatility controlled, momentum, indices dependent on fundamental factors, and those linked to options and futures. The underlying assets and parameters on which indices depend include equities and other indices, bonds, futures, options as well as technical indicators and analyst data.

We have a dedicated team of index developers and analysts who ensure that our service is always of an extremely high quality. We have robust processes of data collection and storage, automatically consuming data from reliable sources. We then perform all calculations required for index delivery with the ability to check and reproduce intermediate values which allows for speedy resolution of any issues. We are attentive to the details important in index calculation such as trading calendars, corporate actions, roll dates and rebalancing of portfolios.

We are set up to provide EOD delivery of index values with dedicated instant support and resolution. Our systems and processes and designed to be compliant with recent regulation on index and benchmark calculations. We are also able to work with clients to produce back-tested results and calculate alternate versions of index definitions if required.

Through our work in examining algorithmic indices, smart-beta strategies and structured product algorithms we are experienced in and able to digest and understand the most complex algorithms. This ensures we fully understand the index and strategy and therefore we are better placed to ensure accuracy of calculations.

Client index definition documentation needs to be accurate and without ambiguity and contradiction. Such indices can be prepared relatively quickly and in verifying the index mechanics and calculations we have helped the process of enhancing client index documentation.

Our years of work as quantitative analysts in the structured product market also gives us experience in a wide range of techniques and technologies useful for index creation and calculation.

More information

For more information about our index calculation services and expertise please contact us. Smart beta and related algorithmic strategies and the indices which define them are an important growth area. We would be delighted to hear about your requirements and explain how we could help you.