PRACK Asset Management is dedicated to producing superior returns applying quantitative finance. Based on the scientific method and driven by the disbelief in market efficiency, we stand at the intersection of financial theory, economics, math, statistics and proprietary software development. We devote our efforts to implement algorithmic strategies in multiple markets and asset classes.
We manage portfolios following a rigorous, disciplined, systematic and repeatable investment process, with permanent interaction between the market and our technology. After market hours we perform multiple analyses and run simulations to learn and refine our approach. We invest (and reinvest) in research and development to keep, or if possible expand our edge, and we produce periodic and accurate information for our investors.
The essence of our culture lies on analytical rigor and adherence to the highest ethical and legal standards.
We believe that return generation is one among various important aspects in asset management. We actively work to control risks inherent to our activity, be them market or operational risks.
It’s a portfolio of Argentina’s sovereign debt instruments that invests following signals produced by our algorithm. At all times instruments are ranked in relation to their fair value, and the portfolio is rebalanced to always include the cheapest and discard those that turn expensive.
It’s a portfolio that invests an equal amount long and short in mid and large capitalization stocks. It relies on a mid-frequency algorithm that systematically ranks the investment universe generating long exposure to cheap instruments and short exposure to rich ones. It targets single digit return with approximately one third of volatility and near zero correlation with the market.
Our strategy invests in a market index aiming to position long, short or cash depending on the expectation of a change in trend. Based on a low-frequency algorithm it intends to catch bullish and bearish market runs without significant exposure to specific company risk.
It’s a portfolio comprised of the 50 cheapest stocks in the mid and large capitalization stock universe. It relies on a mid-frequency algorithm that systematically ranks all instruments and positions on those further from fair value. It intends to outperform the market with similar volatility.
Our consulting arm specializes in the implementation of the latest developments in quantitative finance to the pricing and risk management needs of our clients.
VaR for sovereign fixed income portfolios of Argie bonds.
Market risk of option portfolios on US equities.
Expected response of an equity portfolio under a market crash.
Pricing of Libor linked derivatives.
Monte Carlo simulations for the term structure of interest rates.
Hedging under uncertain volatility.