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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

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 so that it can uncover which securities and their allocations best track it. It is also possible to upload a CSV history of prices.

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

Identify the security basket from which the replicator can choose (whitelist). Set up allocation restrictions, target beta, and whether your target portfolio is a long only/ short only/ or a combination of long & short constituents.

Click "Replicate":

Within seconds you will be presented with 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.
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: We offer flexible ways to construct a comprehensive basket of securities from which the replication engine can select
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.

Discover more:

Interested in taking the next step?

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