Dynamic portfolio allocation for a hedge fund
Categories: Data visualization, Financial Services
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Situation
A London based hedge fund manager dynamically allocates assets in different commodity indices. The investment size changes monthly depending on the corresponding risk and return.
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Complication Given the four dimensional aspect of his dynamic investment: time, position size, risk (volatility) and return, it was difficult for the fund manager to analyze the data and to present it to the board.
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Solution We built a playful representation for the investment progression through time. Each animated disk represented an index. The diameter represented the size of the position in this index, the location in the quadrant indicated the corresponding levels of risk and return. The disks change position every month in an animated display.
More details
- Portfolio consists of S&P 500, Commodity Price Index, Commodity Metals Price Index, Commodity Agricultural Raw Materials Index, Crude Oil (petroleum) Price index, Commodity Industrial Inputs Price Index and Commodity Food and Beverage Price Index.
- Investment allocation for each index changes through time, and is represented by the diameter of the corresponding disk.
- Risk and return are dynamically computed as a 1-year rolling moving averages.
- If you hover your mouse along the x-axis, then it is possible to go back to one date in history to see more detail about the portfolio
- When the mouse hovers, the dates appear. Stop at the desired date and go up vertically with the mouse hovering on a disk to see more details.
What clients said aboutour projects
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Bron Sharman Senior Oil Trader “Unlike many advisers I’ve worked with, Trading Integral Solutions don’t have to pretend to be interested in their clients: they focus on what really matters and strive to add value in an optimal way.” Bron Sharman, Senior Oil Trader at SOCAR Trading -
Olga Kutuzova IFRS Group Manager "Trading Integral Solutions applied high quality standards when they delivered their project to us. We benefited greatly from our interaction with their highly skilled team of experts!" Olga Kutuzova, IFRS Group Manager at Novatek Gas & Power -
Jaroslaw Wajer Partner "I have cooperated with Trading Integral Solutions several times. They supported us during the design and implementation of trading departments and company strategies for our power utilities clients. I appreciate their trading expertise and profound knowledge of risk management. I would truly recommend cooperation with Trading Integral Solutions." Jaroslaw Wajer, Partner Performance Improvement at Ernst & Young