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Quantitative Analysis
Multi-Factor Investment Model
ClientFamily Office
IndustryWealth Management
Duration6 months
Team2 engineers
4.5%
Excess Returns
Annual alpha over benchmark
0.85
Sharpe Ratio
Risk-adjusted performance measure
15%
Lower Drawdown
Reduced maximum drawdown
The Challenge
A family office wanted a systematic approach to equity allocation that combined fundamental analysis with quantitative rigor, reducing behavioral biases in investment decisions.
Our Solution
Built a multi-factor model incorporating value, momentum, quality, and low volatility factors with dynamic weighting. Implemented portfolio optimization using mean-variance and risk parity approaches.
Our Approach
1
Researched and tested factor definitions for Indian market context
2
Built factor scoring system with normalization and winsorization
3
Implemented portfolio optimization with transaction cost consideration
4
Created rebalancing framework with tax-loss harvesting
5
Developed performance attribution by factor exposure
Technology Stack
PythonNumPySciPyQuantLibReact
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