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QuantDesk® Portfolio Replicator

Discover new opportunities by applying Machine Learning

What is the Portfolio Replicator?

Lucena’s Portfolio Replicator tracks time series representations using a predetermined basket of assets. The Portfolio Replicator attempts to minimize tracking error against a target time series. For example, given a time series of an ETF or an Index, we can determine the largest constituents in the index and their proportional allocation. The Replicator can support the following features:  

• Long only replication
• Short only replication
• Long/Short replication
• Target Beta
• Maximum number of securities from a predetermined basket

How the Portfolio Replicator Works:

Load Your Portfolio Or Ticker:
Load your portfolio or ticker:

In order to replicate your portfolio or security, QuantDesk® must first know the historical time series pattern. QuantDesk® can then uncover which securities and their allocations fit best. A CSV of history prices can also be uploaded. 

Set Up Your Replication Whitelist And Goals:
Set up your replication whitelist and goals:

Once the security basket has been whitelisted, parameters such as allocation restrictions, target beta, long only, short only, etc. can be set.

Click "Replicate":

Within seconds you will receive a list of securities from your whitelist and allocations that best track your target time series. A graphical representation is also provided depicting your source, target and replication time series.

Why use Portfolio Replicator?

Long only, short only or both: Depending on your mandate, the “ideal replica” may include long only, long/short or even short-only positions. Replicating a long time series with short constituents can provide ideas for the short leg in statistical arbitrage based models.
Manage Beta: If you’d like to control your replica’s volatility relative to your source portfolio, you can set the beta level for your target portfolio accordingly.
Whitelist and blacklist: Construct a comprehensive basket of securities for the replication engine to utilize. Options include but are not limited to a discrete number of handpicked securities, a watch list, a portfolio, an index or even a dynamic scan.

Discover more:

Interested in taking the next step?

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