Certainty in an uncertain world

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Case Studies

Sound advice in a changing world

Quantitative Trading and Portfolio Optimization System for a Long/Short Equity Fund

We were asked by our clients to investigate quantitative portfolio management techniques to help them manage a long/short Japanese equity fund. We compared standard portfolio optimization techniques (MVO) with ones based on dynamic stochastic programming using our proprietary STOCHASTICS software

After our system outperformed traditional techniques in backtesting our clients saw that it offered them a clear advantage over technology they had previously assessed and engaged us to integrate our new system with their current .NET technology platform. They also decided to extend the system to some of their long-only equity funds

The project also involved the assessment of a range of estimation techniques for use with quantitative portfolio management systems. We implemented and compared a range of techniques and presented our findings, incorporating the most effective techniques in the system we supplied