Our proprietary risk model combines long and short look-back windows to update volatility estimates daily.
Correlation model
Our model analyzes the signals with a proprietary algorithm to identify and exclude non-evident correlations.
Costs model
We developed a transaction cost model to predict signal slippage using data on partecipation rates, volume and volatility.
Constrains
Pre-trade checks include contractual, regulatory, exchange and account-specific limits.
Target portfolio
The system generates a target portfolio within the program risk objectives, using updated return and volatility forecasts among inputs from strategies and models.
Execution
Target positions are compared to current positions and orders are generated accordingly.
Monitoring
Post-trade risk reports include portfolio sensitivity and exposure to a range of key factors and markets.
Return forecast
Using the defined signals, a single return forecast is generated daily for each market.
If you want to know how these process becomes a real return, go to our FACTS page.
