Our Services

The first step in our consulting process is designed to help our clients identify the drivers of risk and returns of their desired investment strategy. ​ This process will typically consist of an analysis of the existing evidence on the performance of the strategy proposed by the client. In this stage of the process, our team makes the most out of our extensive experience with academic research to assess the risk/return profile of the strategy, basing our judgment on existing empirical tests contained in the top-ranking academic literature. We also replicate existing econometric studies, with the aim of validating those results for the specific market and asset class in which the client wants to operate. ​ The analysis carried out in this initial stage of the consulting process provides the foundations for the development of a trading algorithm.

The second step of our consulting process involves the development of a self-standing model for predicting returns, in the line of investment required by our clients. ​ We carry out our own ad-hoc econometric analysis to generate predictions on the expected performance of the proposed strategy, taking into account the specific requirements in terms of asset class, style, geographical area and desired risk exposure. In this phase, we also produce extensive backtests for the strategy, simulating the out-of-sample performance based on historical returns. ​ At the end of this stage of the consulting process, our clients will be in a position to assess the viability of the desired investment strategy on the basis of a tailored econometric assessment.

The third step of our consulting process is the design of an algorithm for the optimisation of a portfolio based on the signal generated by our econometric models. ​ The portfolio optimisation algorithm can be adapted to the specific needs of the client in terms of leverage, degree of market neutrality, degree of dollar neutrality, factor exposure and other dimensions that affect the risk/return profile of the investment strategy.

The last step of our consulting process is designed for those clients that seek a direct implementation of their desired strategy. We develop the algorithms that allow for a fully operational investment strategy taking into account the potential effect of real frictions, such as fees, slippage, and limitations to shorting. ​ The algorithms can be optimized to have full functionality with the API of a broker of choice.