Lattice Elegant Portfolio Discovery (EPD) Platform is a new-generation portfolio optimizer that helps de-noise your portfolios and significantly boost your expected return. In addition to helping portfolio managers (PM) strike a balance between desirable alpha tilts and unwanted risk skews; risk managers (RM) can use it to discover and hedge multi-dimensional risks in portfolios of whatever sizes; and traders can use the tool to optimally trade a basket in order to meet market restrictions, add short-term signals, while respecting the original alpha.
Investment decisions are view-driven. “Stock A will perform” is a typical view which includes the subject “Stock A” and a directional judgment “will perform”. Investment view subjects can be as broad as individual stocks (or assets), factors, sectors, regions/countries, indices, or even any arbitrary themes defined by investors. However, to the extent that such a variety of subjects are considered, there lacks a coherent and comprehensive framework to answer these:
1) Given a portfolio, what are the implicit views in it; and
2) Given a view set, how to construct a portfolio that precisely reflects it.
Lattice’s proprietary P2V (portfolio-to-view) and V2P (view-to-portfolio) mapping technologies respectively solve these problems with unprecedented analytical precision. Our EPD platform empowers you to discover your genuine investment objective; and once there, it will be just 1-click away from delivering your balanced portfolio that precisely and transparently captures your intentional alphas yet avoids unintentional risks.
This platform is suitable for both discretionary and systematic trading.
The Lattice EPD platform offers 4 engines:
1) Basket Generation: facilitates intuitive market database manipulations for arbitrary alpha factor generation;
2) Portfolio Construction: implements investment views, and soft or hard constraints, on stocks, factors, sectors and baskets into a readily-tradable portfolio (empowered by Lattice proprietary V2P) – first-ever view- / signal-driven portfolio optimiser;
3) Portfolio Analytics: visualises a given portfolio’s risk and return profile against stocks, risk factors, any alpha factors, and even views (empowered by Lattice proprietary P2V) - most comprehensive portfolio analytics tool; and
4) Backtesting: simulates the historical ‘performance’ of a strategy in terms of return, risk, stability etc., and stores historical portfolios, analytics and performance data; By completely harmonising these 4 engines, EPD enables a new but desirable EPD Investment Process, which empowers investors to fine-tune portfolios so as to precisely and transparently capture intentional alphas and avoid unintentional risks.
Our infrastructure supports flexible means of delivery including user-friendly GUIs and proprietary APIs.