Portfolio Construction & Optimization Print E-mail

portfolio composition

Quant hedge fund of funds portfolio construction (optimization) framework enables creation of virtually any predefined risk/return investment vehicles efficiently transforming investment concepts into reality. It goes far beyond the traditional mean-variance criteria of portfolio investment quality by allowing building FoF satisfying any risk/return metrics. Such metrics include the complete range of the VaR-based measures, underlying fund correlations, market neutrality and many more.

Being the first in the industry system powered by the genetic optimization algorithms, Quant portfolio composition allows not only constructing optimal risk/return portfolios, but also portfolios with the designed metrics which could include any measures. For example, you may construct a portfolio exhibiting certain betas to the given economic factors and minimum VaR. You may construct a portfolio with minimal inter-correlations of the underlying funds, while keeping its returns within the given range. The possibilities are unlimited.

Addressing the above problems the Quant Group offers the most sophisticated range of portfolio composition services and software applications specially designed for hedge FoF:

  • Custom risk/return profiles
  • Portfolio optimization using genetic algorithms
  • Custom portfolios with the predefined metrics: VaR, betas, Omega, correlations, liquidity, maximum drawdown, skewness and kurtosis
  • A choice of fund of funds optimization models: VaR, CVaR, Maximum Drawdown, Omega and many more
  • Low correlated strategies of underlying funds
  • Market neutral portfolios against the defined sets of market factors (over 2.300 factors)
  • Trend-following portfolios (high uptrend beta with low downtrend beta)
  • Structured product options
  • A wide selection of optimization objective functions
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