Trading Systems for Securities
In contrast to conventional trading systems, we rule out personal and fundamental analysis-based opinions to the extent possible in order to eliminate risk associated with inaccurate subjective opinions.
The system determines what securities you should buy or sell to enhance portfolio returns or reduce risk. These transaction proposals are based on forecast returns for individual equities, factoring in overall portfolio risk and transaction costs.
Investment recommendations take account of asset risk classification and investment horizon. An optimal portfolio is proposed representing the ideal combination for maximum return with minimal risk in accordance with the selected risk classification.
Why use this kind of trading system?
Our quantitative trading systems generate buy and sell decisions founded upon statistics and mathematics as a means to enhance returns on invested capital. Specialised trading strategies can be developed to profitably exploit opportunities in both rising and falling markets.
Example: ArimaxX basket certificate
We designed the ArimaxX-Top-Select basket certificate product in partnership with Deutsche Bank to allow private investors as well to benefit from the use of our quantitative trading systems. The product's objective was to outperform the DAX Performance index on a sustained basis. Security selection was performed monthly by the quantitative trading system we developed. (ArimaxX product flyer [ger])
| Value on 1 Jun 2007 | Value on 2 Oct 2009 | Performance | Outperformance | |
|---|---|---|---|---|
| DAX | 7.987,85 Points | 5.467,90 Points | -31,55 % | |
| ArimaxX | 100,00 EUR | 96,38 EUR | -3,62 % | 27,93 % |
| Name | ArimaxX Top Select basket certificate |  |
| WKN | DB1FJY | |
| ISIN | DE000DB1FJY1 | |
| Issue date | 01.06.2007 | |
| Product type | Basket certificate |
The certificate expired on 30 September 2009.
What is special about these securities trading systems?
In consultation with you we jointly develop a custom trading strategy using the statistical/mathematical method of time series analysis. In designing quantitative trading systems, risk-adjusted performance is paramount for us.
Who uses these kinds of trading systems?
Our securities trading systems are used primarily by institutional investors, family offices and banks. Additionally they are also used with retail products like the ArimaxX-Top-Select basket certificate, and as a mutual fund component.
Procedures and methods
Our securities trading systems have a dual-component design. Below is an illustration of how one trading system is structured, namely the ArimaxX-Top-Select basket certificate.
- Return forecast
First the system generates a return forecast for the upcoming month for all applicable 30 DAX shares on the basis of historical price data. Based upon this, a ranking list is generated in which the higher the projected return, the higher the ranking. Computation is performed using statistical time series analysis to identify recurring patterns that can be taken advantage of in future. - Portfolio optimisation
The five DAX equities on the ranking list are selected that together yield the maximum utility for the portfolio. Maximum utility is when expected returns are high and risk is low in terms of correlation. Portfolio optimisation software is utilised for this important step, designed based on the model developed by Nobel prize winner Harry M. Markowitz.
Have we piqued your curiosity?
If you are interested in our products or services, we gladly advise you individually: