Multi-model platform set-up and development of multi-model framework, integrating new and existing Wealth Management asset allocation models

Picton Mahoney Asset Management (PICTON Investments) was founded in 2004 to provide unique investment solutions to institutional, retail and high net worth investors in Canada and around the world. They are 100% employee-owned and manage approximately $15.3 billion in sub-advisory, pension plan and hedge fund assets on behalf of their clients. The Multi-Strategy Team at PICTON Investments uses various models to determine asset allocation preferences across time during different macroeconomic regimes. The primary objective of this projects is to learn about and set up their existing allocation models for use in a multi-model platform. The updated platform will use Python and integrate into their SQL database. This will allow for models to automatically update and have a report generated to alert users of a new update and the required asset allocation change. The second objective is to develop a Multi-Model framework that can take and integrate the signals from the input models in step one and blend them into one final allocation recommendation. This will also include developing a weighting scheme for the models that will use a conviction signal to adjust each model’s contributing weight over time. Additional levers will be explored to shift each model’s weights, as well as a secondary set that only apply to individual asset classes. The third objective is to evaluate by back testing the new multi-model framework and compare its performance to their existing model. This includes applying their standardized statistical analysis that looks at such performance variables as Sharpe ratio, drawdown and hit rate and well as our existing stress testing platform. The new framework will also be used to create allocation recommendations for 40/30/30 and the Wealth management end uses.

Faculty Supervisor:

Luis Seco;Tracy Barber

Student:

Partner:

PICTON Investments

Discipline:

Mathematics

Sector:

Finance and Insurance

University:

University of Toronto

Program: