Cyclone's innovative, industry-first collection of time series risk models will quantify a portfolios risk exposure like never before. Forecast existing portfolios and test new ideas with historical volatility, EWMA, Beta and GARCH, all featuring more than 10 years of historical data with your custom parameters.
Go from 'low correlation' to 'high information ratio' with Cyclone's proprietary APT Factor Model and Optimizer. Easily generate the optimal portfolio weights for a given universe of assets or managers with your custom alpha estimates and target constraints.
Take control of your transition pre-trade and rebalancing cost estimation with Cyclone's innovative execution analytic. See explicit and implicit costs overall and by name, risk expansion, optimal execution frontiers, trade summaries including crossing and more for any number of complex, multi-manager scenarios.
Directly Targeting Information Ratio
In this example, we will assume that we have identified four assets that we believe will outperform. This could just as easily be ETFs or sources for an asset allocation or risk budgeting exercise. In what percentages should we hold these assets? In pratice, we often end up equal-weighting or applying an ad-hoc weighting.
Cyclone can reveal the optimal holding weights. Utilizing some basic return projections or rankings, the optimizer will create the highest IR portfolio subject to your constraint targets. In this example, starting from an equal-weight allocation, the standalone risk was reduced by 31% and the IR was increased by 47%.
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