Model Optimization

Which parameters are editable without starting from scratch with a new model?

If you hit the plus sign beside “Portfolios” near the top of the page, you will see the options that are editable. 

Making a change will create a new tab in your portfolio and take about 5-10 minutes. Overall, it’s mostly portfolio construction options that can be changed on the tabs. If you want to change the goals of the model, universe, variables and anything else that determines the stock rankings, you can select duplicate to draft near the top left of the page and make your desired changes.


How do I reduce turnover?

There are many different ways to reduce turnover.  The most important thing to understand is how the portfolios are constructed, and for default settings that is going long the top 20% of the universe or 50 stocks, whichever is smaller.  In practice what this means is: if there is a lot of turnover in your rankings then there will be a lot of turnover in your portfolio (i.e. a stock moving from 49th spot to 51st spot would be totally removed from the portfolio).  To combat this you can try the following:

    • Use Signal Smoothing (Portfolio Setting > Trading) to help reduce volatility in your ranks. What it does is average your signal out over N rebalance periods where N is the number of periods you input.
    • Use a combination of Portfolio Optimization Settings. The most effective Turnover reducers are likely to be turnover buffering and turnover optimization (versus lower turnover on the optimizer section). However, using all 3 likely leads to the best overall result.

      1) Turnover Optimization (Signals) will reduce the turnover at the signal level, making the ranked list more stable.

      2) Turnover Buffering (Trading) will reduce the turnover by instead of having a hard limit (i.e. buy the top 20 stocks) to allow the limit to be softer, buy the top 20 stocks but try to only change 5 at a time subject to all stocks being in the top 50% (or whatever settings is used).

      To illustrate, the key here is to set the buffer number of stocks to some number less than the total. For example, if going long the top 50 stocks - set long buffer limit to for instance 5 stocks. The portfolio construction will then try its best to keep the 45 out of the last rebalance's 50 stocks.

      3) Lower Turnover (Optimization) is specific to portfolio optimization only, and it adds a second goal of keeping turnover low while trying to maximize the optimized type selected.
    • Change your rebalance period to a longer time (i.e. move from weekly to monthly).
    • Increase the percentage of stocks that you are long or short. This is somewhat counter intuitive, but the practical effect of doing this is each stock has a smaller weight and the more stocks in your universe the harder it is for an individual stock to be removed.

How do I take a model live? What happens when I do?

To take a model live, you select "Go Live" near the top left corner of the screen. 

When you go live, you will start seeing live updates on your model on the platform. On the chart, the part that has been running live will be yellow in color. You will also receive daily email updates on your portfolio.