Quantify® is the first SaaS/Web fund portfolio (Mutual funds, AIF and ETF) allocation software dedicated exclusively to financial advisors that uses mathematical models based on the latest academic research and enriched with the macro-economic forecasts of our financial analysts. It offers independent professionals a level of financial and computer technology usually reserved for large institutions by systematizing management of their clients’ portfolios and optimizing investment decision traceability, without infringing on their prerogatives.
An offering dedicated to professionals
Quantify is a professional robo-allocator based on the investment universe defined by the human advisor. It guides and assists them in composing and arbitraging their clients’ portfolios, which are classified in five risk profiles using a quantitative approach combined with a macro-economic analysis. It does not replace the advisor when it comes to finding the best match between the client’s risk appetite and their yield objectives or investment horizon, but it provides them with the tools needed for improved risk management of their clients’ portfolios, while helping to meet the regulatory requirements for justifying arbitrage decisions. It is therefore intended not for individuals, but for asset management professionals seeking to compete with the new FinTech players on an equal footing. Quantify does not access the individual portfolios of the advisor’s clients. Rather, it manages standard portfolios based on risk profiles and investment universes. The adviser decides if and how to replicate the recommendations on their clients.
Tactical allocation and fund picking
Quantify performs both tactical allocation of portfolios — i.e. their distribution by asset class according to the client’s risk profile and a given rebalancing frequency — and their effective construction, proposing a selection of funds taken from the advisor’s investment universe that offer the best performance in each asset class. The rebalancing frequency is monthly. The methodology dictating fund allocation and selection is designed to enable automation, enhanced risk management, management intelligibility, and minimized arbitrage fees by applying the financial techniques used in quantitative management. The proprietary algorithm made available to the advisor through the software is an integral part of the service offering and is regularly upgraded.
Portfolio composition by asset class involves alternative allocation methods used in quantitative management that do not depend on future yield estimates and are therefore not affected by this error source. It is based exclusively on historical data published by the funds and the benchmarks that represent them.
Fund selection using our ranking algorithm involves a series of sophisticated classification methods initially designed for hedge fund managers, but which our R&D program now makes available for private asset managers. It also takes account of rebalancing and constraint costs such as maximum amount per fund or investment ratio.
Macro-economic analysis and fund classification
Our tactical allocation algorithm is also enriched with scoring generated by our macro-economic analysis that allows us to incorporate market perception, something quantitative analysis cannot do. It is developed in partnership with Yuma Advisory who, in addition to its contribution to algorithm construction, also works on the qualitative aspect required for the classification and taxonomy of the funds making up the investment universe selected by the advisor. This scoring is accompanied by a market analysis based on his recognized experience and his own activity, which brings him into contact with a wide variety of portfolio managers and other market operators. It consists of a monthly summary management report that justifies the arbitrage decisions, with a focus on macro-economic data as well as the concepts of risk aversion, volatility and correlations.
Quantify is an automated online allocation service that is completely independent from asset management firms and distributors of life insurance policies, PEA (share savings plans) and securities accounts, and therefore does not propose a specific investment universe. Advisers are therefore completely free to define the fund catalogs eligible for their clients’ investment products (life insurance, PEA, etc.) as long as their breakdown by asset class and the depth of their historical data makes them compatible with our tactical allocation algorithm. We possess the history of outstanding balances and net asset values of all mutual funds, AIF and ETF funds valued in EUR, USD, GBP or CHF and currently marketed in France or other countries.
The portfolio rebalancing algorithm takes their historical volatility into account in order to adjust their market exposure by allocating a more or less large share to monetary funds that are deemed low risk. This risk management consists in increasing the monetary allocation when short-term volatility exceeds an upper limit and decreasing it on return to the pro forma value of the standard portfolio. The process is fully automated and triggered at fund picking. By combining it with monthly rebalancing, we avoid unplanned transactions in portfolios and the resulting arbitrage costs that are not necessarily justified.
Our algorithm performs monthly rebalancings whose past behavior can be assessed using a powerful backtest tool. The methodology used is neither constant mix, which consists in periodically rebalancing the portfolio to the initial allocation, nor buy and hold, which is limited to simulating portfolio behavior over a given period after a unique allocation. Rather, it consists of an historical simulation that periodically generates tactical allocations, combined with specific fund picking based on the market data known at the moment the portfolio is rebalanced. Our backtest methodology thus faithfully reproduces portfolio performance as it would have been in the past in each investment universe defined by the adviser.
Quantify also offers real-time monitoring of standard portfolios for each investment universe with a full history of arbitrages, and instant computing of the performance obtained and the main technical indicators. Portfolios can be valued in EUR, USD, GBP or CHF.
Quantify generates monthly management reports per standard portfolio and investment universe. They contain a detailed description of the portfolio’s investment decisions, its performance, and management comments from our financial analysts. The information provided by the software justifies the arbitrages for investors and the control and regulatory authorities. They are also archived and permanently accessible on-line. The pdf document generated by the software can also be distributed to the advisor’s clients by email using an integrated mailing tool.
Quantify is commercialized based on a monthly subscription taken out for a minimum period, for a flat fee that is not indexed on the assets managed by the adviser. The service is available via multi-platform software (Windows, Mac OS, Linux) installed on the advisor’s computer and through our Web service Quantify for the french market.