Our portfolio construction process has been conceptualized from its inception to be an independent element of the investment process.
Our quantitative investments team is characterized by constantly innovate its processes, whose results are reflected in portfolios of quantitative investment strategies that evolve as the market inneficiencies they exploit do.
Investment process
Our algorithms discovery process utilizes data mining techniques, variables’ genetic evolution, and artificial intelligence based technology.
Our investment process is based on the certainty that markets’ movements can be modeled and, accordingly, forecast, with a high degree of statistical significance through the application of scientific and modern computational methods.
Generation
Generation of individual models through data mining, variables' genetic evolution and artificial intelligence based applications through the injection to ad-hoc servers of "tick data" selected samples of the investable assets, indicators, logics and financial theories.
Classification
The generated algorithms are classified on the basis of how well they achieve target ratios specified by our quantitative development team. Only those algorithms complying with such ratios are considered at the next process.
Logics detection
Our team evaluates each algorithm to detect and understand the market inefficiencies and logics it exploits. Only those algorithms whose logics are considered to have a high degree of statistical significance are considered at the next process.
Universalism
The algorithms are validated on related assets on the basis of the logics and inefficiencies exploited, utilizing the same "tick data" sample periods. Only those algorithms whose target ratios are still mantained within a predetermined range are considered at the next process.
Adjustment
Our team adjusts the variables of the candidate algorithms with the aim of reducing their volatility.
Validation over the whole data series
The selected algorithms are further validated over the whole data series of "tick data". Only those algorithms whose target ratios are still mantained within a predetermined range are considered at the next process.
Validation under real market conditions
Shortlisted algorithms are further validated under real market conditions and a capital allocation provided by our management team, never our investors capital. Results of such validation are faced with the model and only those algorithms that keep the target ratios within a predetermined range become candidates to eventually be considered to be allocated through the Portfolio Construction Process.
Our portfolio construction and monitorization process
Our team counts with a range of monitoring systems to analyse the market risk of the portfolio, and to detect the cases in which the exploited market inneficiency of each algorithm might have suffered a variation. On those cases a series of processes are triggered.
Such processes perform, on a statistical basis, adjustments on the portfolio aiming to achieve the investment objectives defined.
Analysis of the questioned algorithm on the portfolio
Our team analyses the statistics of the algorithm in question, its impact on the overall portfolio according to the current weight, and evaluates the feasibility of different scenarios.
Permutations calculation
Over the base of the previous conclusions, our team combines the possible permutations of the portfolio with different weights, with or without the algorithm in question, and with our without considering the addition of one or few algorithms previously validated with different logics.
Portfolio's efficency adjustment
Changes applied are based on three key factors: the uncorrelation of the portfolio and investment logics, compliance with target rations, and the efficient frontier of the portfolio according to the modern portfolio theory.The objective of this process is to reduce the volatility, while maximizing returns, through the combination of the statistical results of each individual algortithm.
Questions?
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