Relative Value Lab

For funds and allocators seeking to find value and monitor systematic derivatives strategies.

A Systematic Strategies Toolkit

Find value by exploring performance on thousands
of strategies using Immersive Finance’s advanced
options backtester.

Leveraging our advanced quantitative analytics, extensive implied volatility, and derivatives historic data sets, traders and allocators can explore historic performance and simulate risk scenarios on hundreds of trading strategies to assess true sources of value.

Our Relative Value Lab Benefits

Enhance alpha generation with a quant-designed toolkit for systematic strategy validation, benchmarking, and real-time value discovery, providing key performance and risk metrics.

Enhance alpha generation with a quant-designed toolkit for systematic strategy validation, benchmarking, and real-time value discovery, providing key performance and risk metrics.

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Explore truly performant strategies against chosen benchmarks.
Demonstrate due diligence when launching systematic strategies.
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Replay live strategies on historic data (last week, last month) to validate
strategy robustness.
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Deep integration with portfolio pisk management module.

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Full transparency of the fund’s strategy for allocators with real-time monitoring of P&L and risk.

Find value by exploring performance of 1,000's of strategies

Flexible execution cost and impact with 100+ parameters

Seconds to run 1,000's of strategies, including performance risk metrics

Key Features

Performance Analysis

Run historic scenarios, assess strategy performance, annualized returns, month-to-date P&L, Sharpe ratio, Sortino ratio, and max drawdown.

Cost & Hedging Setup

Easy to configure execution cost assumptions and auto-hedging programs.

Portfolio Lifecycle

Designed to fully replicate a derivatives portfolio lifecycle, including hedging assumptions and transaction costs.

Risk Replication

Replicate identical scenarios for risk as experienced in live portfolios, leveraging the deeply integrated architecture.

Performance Analysis

Run historic scenarios, assess strategy performance, annualised returns, month-to-date P&L, Sharpe ratio, Sortino ratio, and max drawdown.

Cost & Hedging Setup

Easy-to-configure execution cost assumptions and auto-hedging programs.

Portfolio Lifecycle

Designed to fully replicate a derivatives portfolio lifecycle, including hedging assumptions and transaction costs.

Risk Replication

Replicate identical scenarios for risk as experienced in live portfolios, leveraging the deeply integrated architecture.

Other Solutions

Immersive Finance brings all components of risk management engines, data analysis, and portfolio insights into a single point of access with multiple delivery methods.
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