Equity Research

Portfolio Construction

Equity Trading

Post-trade

Process Improvement

Investment Process Monitoring, Management & Imrovement 

Managing, Monitoring, Measuring & Reporting

This includes the ongoing tasks of general investment management, compliance, accounting, and client & regulatory reporting. Specific tasks that must be incorporated include:

  • Portfolio analysis
  • Risk management
  • Portfolio rebalancing, management, accounting & reporting
  • Performance attribution and measurement 
  • Trade performance measurement
     

Investment Process Improvement

The evaluation phase is ongoing, always reviewing the process to achieve continuous improvement.  Observe, measure and improve, as in a manufacturing process. 

Some characteristics and functions to focus on are:

  • Automate all tasks as possible
  • Define success of process; implement validation criteria
  • Install and monitor diagnostics; is there a problem, is the process broken, where?
  • Smooth transitions between phases; minimize slippage and loss of alpha
  • Decentralize silos of knowledge and expertise
  • Review all characteristics, measurement data
  • Optimize hardware, software & telecommunication configurations
  • Maximize data efficiencies: logical, definitional, subject matter, architectural, structural, schema
  • Research: model validation, back testing; standardize (z-scores, Winsorization, factor compatibility, reusability, etc); control bias (survivorship, look ahead, etc)
  • Integrate performance attribution insights into portfolio construction and optimization processes
  • Portfolio construction: cost of constraints, turnover, transfer coefficient, alpha decay, validity of forecasts and risk measures; super efficient beta management; original alpha creation techniques
  • Trade performance: market impact, commission usage; VWAP, Implementation Shortfall, Arrival Price, etc
  • Management review: true to objectives, client mandates, prospectus; justification of fees

Repeat and incrementally improve the technology-based investment process  


Boston Security Analysts Society - CFA Continuing Education

Portfolio Manufacturing: a View from the Shop Floor, Oct. 2003 


Investment Process
  Equity Research

  Portfolio Construction

  Equity Trading

  Post-trade

  Process Improvement


Hugh Lagan Crowther
(781) 640-3354
hugh@crowther-investment.com

Global Quantitative Investment:
Process, Data, Technology, Strategy, Marketing 
Data Science Consulting - Boston
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