Financial Portfolio Enhancement

We provide portfolio managers and financial institutions with data-driven tools to assist them in outperforming today’s markets. We have extensive experience analyzing a wide range of securities, complex financial products and financial markets. We collaborate with our clients to enhance and extend their investment process yielding new insights and opportunities.

Securities & Portfolio Analysis

  • Quantification of risk and return characteristics of a portfolio
  • Analysis of mortgage backed securities and other structured debt obligations
  • Valuation of exotic options, including barrier options
  • Examination of deviations between market value and NAV for exchange traded funds

Trading & Market Dynamics

  • Analysis of trade execution costs
  • Analysis of high frequency trading data including strategy and price impact analysis
  • Examination of price dynamics of commodities futures for natural gas, crude oil, precious metals, etc.

Strategy Testing

  • Back-testing of trading or investment strategies
  • Buy and Sell signal evaluation
  • Monte Carlo simulations

Selected Prior Experience

Analysis of Exotic Options

Data Science Partners has been retained in a project to examine the risk characteristics of exotic options entered into by a financial institution. Unlike American or European options, these are knock-out options, with early termination triggered by the underlying equity portfolio value falling below a threshold at any point during the life of the option. DSP economists adopted both analytical and empirical methods to analyze the risk characteristics of these options.

High Frequency Trading – Order Book Analysis

Data Science Partners was hired to analyze commodities futures order book data covering over 40 contracts across 17 different products. Utilizing CME and ICE datasets, DSP created programs to examine more than one billion records. After reconstructing the order book history by trading party, DSP worked closely with the client, analyzing the data to summarize market conditions, trading patterns and potential price impacts resulting from order book characteristics.

Highlighted Original Research

Actively Managed versus Passive Mutual Funds: A Horse Race of Two Portfolios

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Downside Risk Protection of Retirement Assets: A New Approach

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A Tale of Two Anomalies: Higher Returns of Low-Risk Stocks and Return Seasonality

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