Long Only Fund wanted to develop quant models for real-time tracking of 1000+ listed stocks and optimize entry/exit of portfolio companies.
JMI Implementation
Following the client’s primary ideas on the real-time tracking and optimize entry/exit of stocks, our team conducted a detailed research and study.
Collected 20-years of daily, weekly and monthly exchange data for all the listed samples and systematically applied approx. 30,000 stock-specific corporate action adjustments to streamline the data.
Performed regression analysis to identify key quant driven price and volume factors for real-time tracking of all 1000+ listed stocks.
Using JMI’s automated AI/ML platform, JMI back tested different values of the factors and developed a detailed model to track and generate multiple real-time quant signals across the stock universe.
Developed a connector and linked the model to real-time exchange data feed which would keep models updated in real-time, and generate sound/visual triggers to monitor the markets without any human intervention.
Results
The client was able to track 1000+ stocks on real-time basis without any human effort which was not possible earlier. The client saved significant man-hours costs compared to earlier manual research methods.
The client was further able to streamline the entry and exit of stocks using price and volume driven triggers generated by the quant model.
Optimization added an additional 3% in annual returns to the long only portfolio.