Instrument Selection
Select which investment products from the investment universe will be automatically pre-selected in the defined portfolios. Instrument selection is presented in the Deep Alpha Advisory Platform (DAAP).
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The instrument selection assist you with ranking the investment products within each asset class and ensure that the best investment product is selected. There are two way of defining instrument selection in Deep Alpha Advisory Platform (DAAP):
- Manual instrument selection
- Automatic instrument selection
Users of DAAP has the opportunity to manually select which investment products that should be selected within each asset class. This is a relevant use case if you already have a clear instrument selection performed by internal resources, investment consultants or similar set up. The objective of the manual instrument selection is for us to ensure that DAAP reflects the decisions you have done regarding the selection.
When you are using the manual instrument selection you inform us about the selection at the time of implementation and any changes done the lifespan of your client relationship.
The automatic instrument selection functionality allows you to use quantitative metrices to assess and rank the investment products within each asset class. These quantitative metrices are refered to as selection rules. The objective of a selection rule is to express a mathematical expression that can be applied on a set of time series (instruments) to derive a ranking, where one time series (instrument) is intercepted better than another.
We have a set of predefined selection rules that you can apply on you investment universe. These are categorized as Momentum factors, Risk factors and Other factors:
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Momentum 1 week |
Momentum 1 month |
Momentum 2 month |
Momentum 6 month |
Momentum 12 month |
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Sharpe 12 months |
Sharpe 24 months |
Sharpe 36 months |
Sharpe 60 months |
Sortino 12 months |
Sortino 25 months |
Sortino 36 months |
Low downside deviation - 6 months |
Low downside deviation - 12 months |
Low downside deviation - 24 months |
Low downside deviation - 36 months |
Low volatility - 3 months |
Low volatility - 6 months |
Low volatility - 12 months |
Low volatility - 24 months |
Low volatility - 36 months |
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Yield to maturity |
Reach out to you Quantfolio representative if you have questions regarding new factors.
Whether you use manual or automatic instrument selection, you can generate a selection report that documents the ranking of each investment product, within each asset class. This report contains the following information:
- Ticker of the product
- Name
- Category information
- Inception date
- Return data
- Risk data
- Ranking
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