Select an optimal portfolio of instruments that replicates the performance of any financial index (e.g., S&P 500) with a reduced number of assets .
Our proprietary technology efficiently solves this complex optimization problem, which traditional commercial optimizers cannot handle effectively.
Real backtests, not illustrative examples. More indices are available on request.
Tracking error of 1.03% and information ratio of 0.35 since inception, with 0.47% annual excess return over the SPDR S&P 500 ETF Trust benchmark, using 150 assets.
Tracking error of 0.89% and information ratio of 0.13 since inception, with 0.55% annual excess return over the iShares MSCI World Index ETF, using 275 assets.
Tracking error of 1.34% and information ratio of 0.08 since inception, with 0.37% annual excess return over the Invesco QQQ ETF, using only 52 assets.
In the case of the S&P 500, the tracking error is less than 2% per year using only 80 assets with quarterly rebalancing.
60% reduction in transaction costs, minimizing tracking error and operational risks. For asset managers running a synthetic, basket-based replica, we compute that basket for you: in tests against the method one European retail banking asset manager was already using, this cut annual transaction costs by 58%.
Full customization according to your needs: ESG criteria, sector preferences, tax considerations, liquidity restrictions, etc. Portfolios are built with the EU's 5/10/40 concentration rule in mind from the start, so results are ready for real fund constraints.
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