Quantitative Credit Strategy: Investment Approach

This is a unique quantitative credit strategy offered anywhere globally. The quantitative model is built around public market fixed income instruments  that trade in exchanges in developed markets (United States, Canada, United Kingdom & EU) while multiple other macro signals are used as inputs.

This strategy uses a deep learning neural network to deliver its output. The model parameters are re-calibrated every six months. The portfolio is rebalanced every 3 days using prior 30 days market data.

No leverage is used* and no OTC derivatives, thus obviating the need of bank counterparties.

This strategy is executed in a bi-layer manner. The bottom layer is the "machine layer" - model output that is continuously updated for all data sets. The top layer is the "human layer" - where the investment team decides on the model output execution while ensuring it is in sync with actual credit market dynamics/behaviour. 

* Strategy can be customized for investors seeking higher returns with usage of leverage

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