Copia Macro integrantes teq
Alejandra Sanchez
Created on September 5, 2024
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Transcript
Peer Review
Strategy R&D
MACROPROCESS TEQUILA CAPITAL
Benchmarking
DEVELOPMENT
SALES
Development
Quality
Requirement
Release
Research Ideas
RESEARCH
DASHBOARD
DATA SERVICES
BUILDER
Paper Trading
Long Shots
Quick Hits
PRE OPERATIONS
Benchmarking
OPERATIONS
Committee
PM Committee
Pre-approved models
Portfolio analytics
EXECUTION MANAGER
Committee
Blowoff valve
Approved models
Blow off valve
Knowledge base
NEGOCIO
Visión de producto
PROCESS
Peer Review
Strategy R&D
Benchmarking
Research Ideas
Long Shots
Will usually take from 3-6 months to develop and are expected to have a meaningful impact on the business
Quick Hits
Will usually not take more than 1-3 months to implement. Defined as incremental improvements over existing components
Committee
*
Committee
Blow off valve
Approved models
Knowledge base
SALES
Middle Office/ Back Office
Customer Service
DASHBOARD
OPERATIONS
Customer Acquisition
Marketing
Portfolio Management
Conciliation Titania -Broker
Corporate events Monitoring
DEPARTMENTS
OPERATIONS(BO / MO)
BROKER
AUMS
Investment Flow Complete
SALES
Send orders confirmation
Cash / Position Validation
Client Reporting
FRONT OFFICE(CIO / PM)
Titania Portfolio (Strategy Selection & Asset Allocation)
STRATEGY R&DThe quant analyst starts developing the investment model in python, excel, etc. At this point he/she will start backtesting the proposed strategy to determine whether the stated thesis is able to generate alpha on a consistent basis.
STRATEGY R&DOnce the Research Process is finished, the deployment team is tasked with integrating the strategy code into the production line.
New Strategy proposal
Strategy presentation
Research Phase
Data upload (if required)
Research & Development Strategy
Results presentation
Code Integration in production line
DEPARTMENTS
RESEARCH
DEVELOPMENT
INVESTMENT COMMITEE
Research Idea
Strategy ( development)
DATA TEAM
Peer Review
Management and Research Committee
DEPARTMENTS
ANALYSIS
QUALITY
ResearchDataBusiness
DEVELOPMENT
Paper Trading Testing
Quality Assurance
Implementation
Release
DEVELOPMENT
DEVELOPMENT
Investment Commitee:
The research team presents the results using the following files and formats.
- Strategy Presentation Template
- Strategy Scoring Template
10 Stages of Full Life Cycle Use Case
PEER REVIEW The strategy will be subjected to a second opinion from a qualified peer to objectively validate the model, methodology or results before they are submitted to the investment committee for approval.
RESEARCH IDEASGenerate new research ideas based on predefined priorities such as:1. Fractal Algorithms2. Scenario Analysis3. Risk Management / Alpha Perservation4. New Seed and Base Strategies5. Artificial Intelligence
Customer registration
Customer Account
Add Subaccount
Order creation
Sending orders
Benchmarking
DEPARTMENT
RESEARCH
COMMITEE (PMs, CIO,CEO)
Portfolio Creation
OPERATIONS IT
Strategy Go /No Go
Strategy Monitoring
c) Graduationd) Re allocatione) Decomission
Approved & monitored Strategy
INVESTMENT COMMITTEEThe applicant submits his/her idea (using the research framework) to the commitee which evaluates the proposal based on the following criteria:1. Estimation of time and economic resources2. Alignment with pre-established priorities, as well as an estimate of impact and viability of the initiative
Investment Commitee:
The research team presents the results using the following files and formats.
- Strategy Presentation Template
- Strategy Scoring Template
OUT OF SAMPLE BENCHMARKINGThe strategy is run by a third independent party on data observed after the end date of the backtest. If performance is consistent with backtest results, the strategy is promoted to the next stage. Will take place for as long as it is needed to gather enough evidence that the strategy performs as expected vs benchmark.
Investment Commitee:
The research team presents the results using the following files and formats.
- Strategy Presentation Template
- Strategy Scoring Template