Our client was looking to build out a quantitative investment strategy, but as an institutional investor had strict guidelines to adhere to regarding risk exposure and drawdown minimisation. They wanted to incorporate these constraints into their problem solution from the off.
By analysing not only predicted movements, but also the transient and persistent correlations and dependencies present in a basket of securities, our client was able to use Mind Foundry’s tooling to deliver a portfolio which minimised position concentration over time, thereby reducing risk exposure, and avoiding large draw downs.
The resulting portfolio was well diversified and better able to withstand market forces and industry centric concerns. The final trading strategy was able to significantly reduce volatility over a simulated backtest, while maintaining a competitive rate of return.