-
90%
automated solution for data sourcing, and processing and addressing manual errors and anomalies
-
95%
automated report generation and publishing
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10+
years of support
CLIENT CHALLENGES
- The equity strategy team of a US-based sell-side firm wanted to test trading strategies against a given universe and identify factors that drove the performance of the coverage universe by classifying the universe into groups
OUR APPROACH
- Acuity developed an application/platform in MATLAB with an Excel user interface where the client could test the strategies
- Functionalities of the application included options to filter the universe and the ability to use different ranking methods to compute the performance of the filtered universe and the performance of each classified group
- The model was run on an ad hoc basis over the stock universe and factor lists specified by the client
- The application computed factor information coefficients, conducted fractile analysis, generated a performance summary, used key statistical metrics, generated a historical performance of the factors and produced a well-designed report
IMPACT DELIVERED
- The client was able to leverage Acuity’s quants equity and MATLAB programming skills and spend more time on analysing results. This application generated analysis reports in real time that could be presented to traders. It provided the client with flexibility to run strategies based on sector-neutral, sector-specific and analyst-specific criteria. It also provided options such as holding period, rebalancing frequency, market cap limit and ADV limits.
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