OUR INVESTMENT PROCESS

COMPETITIVE ADVANTAGES

  1. One and a Half Years of successful Track Record.
  2. It is not a model but a full investment process.
  3. The software provides a fully integrated ecosystem.
  4. Clients are followed step by step with the integration of the software with their investment process.
  5. A Tailor-Made Implementation.
  6. No time is wasted with the learning and daily implementation of the software.
  7. No Black-Box all models are fully explained and their economic rationale is crystal clear.

CUSTOMIZED INVESTMENT PROCESS

  1. Weekly/Monthly Signals:
    – Market Regimes and Trend Scanners
    – Market Signals with Probability Analysis
  2.  Security Selection
  3.  Data Management
  4. Portfolio Optimization
  5.  Backtesting
  6.  Risk Management
  7. Analysis of Coherence

TRADING SIGNALS

We take into account five elements:

  1. The prevailing regime on each asset class
  2. The presence of extreme overbought or oversold with the trend scanner
  3. The signals coming from an A.I. model which identifies the medium-term direction
  4. An alpha crash model that captures seasonality and changes in the trend
  5. A list of over 40 technical indicators which capture short-term fluctuations

SECURITY SELECTION

  • At first, we consider the performance of each security conditionally on being in a bullish vs bearish regime
  • After that, we consider how each security behaved during the portfolio’s worst drawdowns
  • Then, we consider the Marginal risk and the risk Contribution of each security
  • Finally, we consider how the portfolio risk changes by excluding each security in each regime

DATA MANAGEMENT

  • The time series of predictors need to be treated to avoid outliers and to ensure stationarity
  • Fractional Differentiation helps with the denoising of the time series of returns
  • Principal Component Analysis is used to denoise the variance-covariance matrix
  • Feature Selection: we employ a rich set of models to identify the best sect of predictors for each model

PORTFOLIO OPTIMIZATION

  • We support the decisions of portfolio managers by providing a monthly report tailored to their needs
  • Exploit the power of the new generations of portfolio optimization algorithms in combination with our trading signals to maximize the return per unit of risk of your portfolios of investments
  • Leverage the power of 40+ portfolio optimization models.
  • Our adaptive algorithm selects among the 40+ optimizations the one that is more coherent with your goals
  • We follow a regime-dependent portfolio optimization

BACKTESTING

  1. Walk Forward Models: Basic, Nested, with Permutation
  2. Cross Validation Models: Basic, Combinatorial, Symmetric
  3. Permutation Test: in the sample, Out of the sample.
  4. Simulations: Monte Carlo, Historical Filtered, GAN
  5. Controlled Environments: optimal thresholds and parameters

ANALYSIS OF COHERENCE

  • The analysis of coherence focuses on the economic interpretation of the results and is complementary to the backtesting which is merely statistical
  • The critical point is to identify where the overperformance comes from and in which scenarios the model is expected to perform handsomely and in which is expected to perform poorly. Once the scenarios are clearly identified a probability is linked to them
  • The out-of-sample performance is then mapped with this study to verify that the model is meeting the expectations

STRATIFIED RISK MANAGEMENT

Line 1: We provide volatility filters and early warning signals to help you reduce your exposure in a timely manner

Line 2:  for each asset class, we identify whether we are in a bull-bear regime. When we are in a bear regime speculative positions should be avoided

Line 3: Aggregate Risk, tests the overall exposure in terms of VaR and CVaR, and backtest the effectiveness of these metrics

Line 4: Factorial Risk, measures the portfolio exposure to risk factors. Combined with the signals coming from the report could recommend some rebalancing

Line 5: Individual Security Risk, tests the impact of individual securities on the different dimensions of the portfolio’s risks

Line 6: Stress Testing and Management. We analyze the potential impact of economic shocks on the portfolio and prepare adequate plans to face them