Firm Profile: Private Wealth Management, Private Banking

Product: Quant Suite and Risk Shell

The Private Wealth Management division of one of the largest banks in North America (The Firm) offers a broad range of portfolio management and advisory services to HNWI and family offices. The Firm manages multi-asset portfolios with the major focus on alternative investments. Today, it manages over $2.5 billion in assets and is working to improve the overall quality of their investment portfolios by employing more advanced portfolio construction models.

ABC Quant Client Since 2009

The firm approached ABC Quant and specifically asked for the portfolio construction framework using the Maximum Drawdown as the main objective function and stress testing data of constituent funds as optimization constraints. The Firm's CIO not only wanted to build market-neutral portfolios, but also portfolios with controllable risks derived from managers' underlying holdings. By that time, ABC Quant didn't have a ready solution to meet the Firm's requirements. ABC Quant's team took a time break to thoroughly investigate the problem and suggest a few solutions to resolve it. In three weeks ABC Quant presented a working optimization framework prototype and analytical tools to resolve the Firm's optimization problem. The Firm tested the suggested models and, being fully satisfied with the results, subscribed to ABC Quant's analytics, first to Quant Suite, then to Risk Shell.

Custom Development: "Unique, fast and efficient"

The custom development process did not stop on the initial optimization framework release provided to the Firm. The latter had been requesting numerous model modifications and enhancements, covering not only the underlying analytics but also the graphic user interface. For example, the Firm asked for synchronizing the Efficient Frontier charts with the optimal portfolio factor sensitivity charts - to facilitate the process of finding the market-neutral 'gold spot' on the Frontier and decide which stress factors should be included as constraints. During the first year of working with the Firm, ABC Quant released over 50 small and large application enhancements to address the Firm's requests. "The turnaround, depth of research and attention to small details of the Quant's team are amazing," said the head of research.

Continuous Client Interaction

Delivering a so complicated optimization framework would be impossible without a continuous interaction between the Firm's and Quant's research and development teams. "ABC Quant provides one of the best customer services here. I do not know other companies offering the same custom development program - ABC Quant's guys have become a part of our own team," said the Firm's CIO.