QuantDesk® Portfolio Replicator
Discover new opportunities by applying Machine Learning
What is Portfolio Replicator?
Lucena’s Portfolio Replicator is designed to clone a time series of a security, or a portfolio based on using a predetermined basket of constituent candidates. The Portfolio Replicator is designed to minimize tracking against a time series target and can infer which assets and what allocations are most suitable. Portfolio replication 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 Portfolio Replicator Works
Why use Portfolio Replicator?
Replicating a long time series with short constituents can provide ideas for the short leg in statistical arbitrage based models.
construct its replica. A discrete number of handpicked securities, a watch list, a portfolio, an index or even a dynamic scan can all be used in tandem.