Integration of Inflation Signal in Picton Mahoney’s Asset Allocation Models

Picton Mahoney Asset Management (“PMAM”) was founded in 2004 to provide unique investment solutions to institutional, retail and high net worth investors in Canada and around the world.

The Multi-Strategy Team at PMAM uses economic cycle models to determine asset allocation preferences across time during different macroeconomic regimes. We have recently incorporated an additional inflation signal to our cycle models which requires more work to integrate into the asset allocation process. We have identified other ends uses, including our 40/30/30 marketing campaign and our new Wealth Management unit. We also require automation of reports that will alert the multi-strategy fund managers of any new signals that would necessitate a change in asset allocation.

University of Toronto’s Master of Mathematical Finance (MMF) students bring highly marketable and specific skill sets that can support PMAM’s analysts and portfolio managers within the Multi-Strategy and Macroeconomic Research Teams. Their Matlab, Python and SQL programing skills will move our projects forward by allowing us to update and automate our existing cycle models that make asset allocation decisions.
These skills will also allow us to expand the models to new use cases within the firm, including the new Wealth Management unit. MMF students have basic knowledge of key concepts such as Portfolio Construction, Asset Allocation, Factor Investing and the Global Macro investing environment. This allows MMF grads to be quickly integrated, making an immediate impact. They can also design, generate and automate reports related to the operation and monitoring of Multi-Asset and Multi- Strategy portfolios.
Providing MMF students with the opportunity to integrate their academic studies with hands-on experience at PMAM allows us to support the intern’s journey from academia to industry, while benefitting from their intellectually curious mindset, their ability to think differently, and their aspirations provide unique investment solutions to Canadian and global investors.

Faculty Supervisor:

Luis Seco;Tracy Barber

Student:

Partner:

PICTON Investments

Discipline:

Mathematics

Sector:

Finance and Insurance

University:

University of Toronto

Program: