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QuantDesk® Hedge Finder

Reduce risk & volatility in your portfolio

What is Hedge Finder?

Lucena’s Hedge Finder is designed to reduce a portfolio’s volatility while preserving its projected returns. Based on a pattern matching algorithm unique to Lucena, the Hedge Finder discovers and recommends additional assets to add to your core portfolio. The Hedge Finder supports the following features: 

• Select from multiple target risk profiles (from preserve return to reduce risk).
• Long only hedge, short only hedge, or a long/short combination.
• Target Beta against the core holdings.
• Target Alpha against the core holdings.

Support user defined security basket from which the Hedge Finder can pick additional constituents.

Portfolio Hedging_ Lucena Research QuantDesk hedge finder

How Hedge Finder Works

Load Your Portfolio:
Load Your Portfolio:

In order to hedge your portfolio going forward, we must first reconstruct its historical pattern so we can discover securities that would have hedged it well in hindsight.

Find The Ideal Hedge:
Find the Ideal Hedge:

The Ideal hedge is the historical price pattern that when combined with the core portfolio preserves the original return while cancelling out volatility. We compute this pattern by “flipping” the core portfolio’s performance about its trend line.

Identify The Ideal Hedge Basket:
Identify the Ideal Hedge Basket:

Once we have the Ideal hedge pattern as a target, the algorithm attempts to build a basket of securities to match it. It uses a “whitelist” of securities selected by you from which to build the basket. The whitelist can include stocks, ETFs, ADRs or mutual funds.

Portfolio Hedging_ Lucena Research hedge finder

Why use Hedge Finder?

Ideal hedge: Our hedge discovery algorithm seeks to construct a basket of securities that, together, form an “ideal hedge” based on
long-only, long/short or short-only positions.
Beta: Beta for the hedge target can be set accordingly.
Whitelist and blacklist: We offer flexible tools for informing the hedger which securities it may use construct the hedge.

Discover more:

Interested in taking the next step?

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