hongkongen
Bringing the quant research and the production data together

Bringing the quant research and the production data together

24-02-2020 | Insight

Researching, designing and implementing top-notch quantitative investment strategies requires good data sources. In order to ensure that all the necessary data is available to all quant research and investment teams, Robeco has dedicated considerable resources to upgrading its data platform over the past couple of years. We talked to Jacob Buitelaar and Richard Groenewegen about these improvements.

  • Jacob Buitelaar
    Jacob
    Buitelaar
    Co-head Portfolio Engineering & Trading Equity
  • Richard Groenewegen
    Richard
    Groenewegen
    Head of Investment Data Engineering

Speed read

  • We bring the research and the production data together in one place
  • Moving to the cloud enables us to scale our computations
  • We want to be very flexible and able to add new data sources really quickly

Could you explain the main idea behind this effort?

Jacob Buitelaar: “Our aim is to ensure that Robeco’s quantitative teams have top-notch data infrastructure at their disposal. The key idea for that is to bring the research and the production data together in one place and make it available directly and flexibly to all relevant stakeholders, including researchers and portfolio managers.”

“Doing so, we can significantly shorten time-to-market for our clients. Once we’ve researched investment ideas, we can put them into production really quickly. Moreover, making data available centrally to everyone improves the data quality and the efficiency and collaboration.”

Now also follow us on Instagram
Now also follow us on Instagram
Follow

When you talk about data, what kind of data are you talking about exactly?

Richard Groenewegen: “It starts with historical data concerning financial markets, like asset prices or transaction volumes. But it can also be sustainability-related information, or proprietary data regarding our funds’ positions and holdings, as well as transaction costs, for example. In all cases, we check the link between each piece of data and the related financial instrument. So, it’s a lot of details.”

Our teams may need to process a lot of data and we want to be able to scale our computations

OK. But, gathering information and making it available is one thing, while making sure it can be exploited is another, right?

R.G.: “Definitely. In fact, that’s the other part of what we do: we make sure that we also have the necessary processing power and the tools to analyze the data. Our teams may need to process a lot of data and we want to be able to scale our computations. That’s why we’re moving things into the cloud, where we get access to some of the most advanced tools, such as Apache Spark.”

“The cloud allows you to effectively clone or duplicate your environment, which makes it easier to have research and production all effectively on the same platform without risking any integrity issues. And because all the different teams work with exactly the same tools and the same data sets, it makes the transition from research to production much easier.”

J.B.: “Altogether, this means much more than having interconnected teams: the whole process works in exactly the same way from beginning to end. This enables both scalability and flexibility, something increasingly important as the data sets we use as input for our quantitative strategies are becoming larger, more diversified and often less structured. Just think about SEC filings or newsfeeds, for example.”

Could you illustrate with a concrete example?

R.G.: “Yes. For instance, take the cloud implementation of Robeco’s quant allocation strategies. This project had two main aspects. The first one was to have a front-to-back automation of the quant model, starting with data collection, all the necessary checks and putting the monitoring of the process in place. The second aspect was to work with new technology and to bring IT development much closer to the front office.”

“So, it was really about having a team with one foot in the front office and one foot in IT. And now, instead of running scripts and babysitting the whole process, we simply run everything automatically, with data-anomaly checking and web dashboards in place to ensure confidence in the outcome.”

“Another project we worked on during the second half of 2019 was a bottom-up reimplementation of the quantitative selection database. This database gathers stock-specific information, like historical prices, transaction volumes, company earnings estimates, accounting information, news sentiment information, ESG information, and so on and so forth. We have put a lot of focus on making it flexible, so that we can quickly add new data sources. ”

J.B.: “This is a very important aspect: we want to be very flexible and able to add new data sources really quickly. For example, if a researcher needs a new data source to be included, we want to be able to have it in the next day. And we want it to be available not just locally but for the entire research department, which requires huge processing power and cutting-edge technology.”

“In particular, we use the Databricks platform and its analytics engine Apache Sparks. Doing so, we can have hundreds of computers available within five minutes working on the same problem. That’s several terabytes of main memory that we can use flexibly. We also work very closely with Databricks to ensure that features and performance of the platform that are specific to our use case get the right attention on their development agenda.”

What are your projects for this year?

R.G.: “We may slightly shift our focus towards the computation side of things to enable faster processing of large datasets as well as machine learning. We’ll also likely add more data sources, including further sustainability-related information or insights from our fundamental analysts, for example. Also, we will be looking to extend the quantitative selection database with credit data and even more detailed information.”

Indeed, Robeco uses equity signals for credit strategies and vice versa. Is that an issue?

J.B.: “Not at all. In fact, this is one of the key benefits of our new platform: instead of having separate infrastructures for each capability, we gather everything in one place. Because our investment strategies combine cross-asset signals, it is really useful to have them all together. This way we can link instruments and use signals from one asset class or the other.”

Any other project you may want to mention?

R.G.: “We are also helping to create a tool to automate the customization of Robeco’s Core Quant Equity strategies. This would enable clients to configure a personalized portfolio reflecting their risk, return and sustainability preferences in real time. It would allow them to understand better tradeoffs between various options and to see the effect of changing some existing portfolio settings.”

So, in a way, it would be a bit like for the automobile industry, where you can customize your car online and see the end result directly on your screen, right?

R.G.: “Exactly. We observe a trend that once investors have chosen their index, they are looking for the best way to enhance that index as an alternative for a pure replication, or passive, approach while staying close to that index. With this tool, clients can see directly the impact of their choices on the portfolio characteristics.”

Important information

The contents of this document have not been reviewed by the Securities and Futures Commission ("SFC") in Hong Kong. If you are in any doubt about any of the contents of this document, you should obtain independent professional advice. This document has been distributed by Robeco Hong Kong Limited (‘Robeco’). Robeco is regulated by the SFC in Hong Kong.
This document has been prepared on a confidential basis solely for the recipient and is for information purposes only. Any reproduction or distribution of this documentation, in whole or in part, or the disclosure of its contents, without the prior written consent of Robeco, is prohibited. By accepting this documentation, the recipient agrees to the foregoing
This document is intended to provide the reader with information on Robeco’s specific capabilities, but does not constitute a recommendation to buy or sell certain securities or investment products. Investment decisions should only be based on the relevant prospectus and on thorough financial, fiscal and legal advice. Please refer to the relevant offering documents for details including the risk factors before making any investment decisions.
The contents of this document are based upon sources of information believed to be reliable. This document is not intended for distribution to or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation.
Investment Involves risks. Historical returns are provided for illustrative purposes only and do not necessarily reflect Robeco’s expectations for the future. The value of your investments may fluctuate. Past performance is no indication of current or future performance.

Subjects related to this article are:
Logo

Disclaimers

1. General
Please read this information carefully.

This website is prepared and issued by Robeco Hong Kong Limited ("Robeco"), which is a corporation licensed by the Securities and Futures Commission in Hong Kong to engage in Type 1 (dealing in securities); Type 4 (advising in securities) and Type 9 (asset management) regulated activities. The Company does not hold client assets and is subject to the licensing condition that it shall seek the SFC’s prior approval before extending services at retail level. This website has not been reviewed by the Securities and Futures Commission or any regulatory authority in Hong Kong.

2. Important risk disclosures
2. Important risk disclosures Robeco Capital Growth Funds (“the Funds”) are distinguished by their respective specific investment policies or any other specific features. Please read carefully for the risks of the Funds:

  • Some Funds are subject to investment, market, equities, liquidity, counterparty, securities lending and foreign currency risk and risk associated with investments in small and/or mid-capped companies.
  • Some Funds are subject to the risks of investing in emerging markets which include political, economic, legal, regulatory, market, settlement, execution, counterparty and currency risks.
  • Some Funds may invest in China A shares directly through the Qualified Foreign Institutional Investor (“QFII”) scheme and / or RMB Qualified Foreign Institutional Investor (“RQFII”) scheme and / or Stock Connect programmes which may entail additional clearing and settlement, regulatory, operational, counterparty and liquidity risk.
  • For distributing share classes, some Funds may pay out dividend distributions out of capital. Where distributions are paid out of capital, this amounts to a return or withdrawal of part of your original investment or capital gains attributable to that and may result in an immediate decrease in the net asset value of shares.
  • Some Funds’ investments maybe concentrated in one region / one country / one sector / around one theme and therefore the value of the Fund may be more volatile and may be subject to concentration risk.
  • The risk exists that the quantitative techniques used by some Funds may not work and the Funds’ value may be adversely affected.
  • In addition to investment, market, liquidity, counterparty, securities lending, (reverse) repurchase agreements and foreign currency risk, some Funds are subject to risk associated with fixed income investments like credit risk, interest rate risk, convertible bonds risk, ABS risk and the risk of investments in non-investment grade or unrated securities and the risk of investments made in non-investment grade sovereign securities.
  • Some Funds can use derivatives extensively. Robeco Global Consumer Trends Equities can use derivatives for hedging and efficient portfolio management. Derivatives exposure may involve higher counterparty, liquidity and valuation risks. In adverse situations, the Funds may suffer significant losses (even a total loss of the Funds’ assets) from its derivative usage.
  • Robeco European High Yield Bonds is subject to Eurozone risk.
  • Investors may suffer substantial losses of their investments in the Funds. Investor should not invest in the Funds solely based on the information provided in this document and should read the offering documents (including potential risks involved) for details.

3. Local legal and sales restrictions
The Website is to be accessed by “professional investors” only (as defined in the Securities and Futures Ordinance (Cap.571) and/or the Securities and Futures (Professional Investors) Rules (Cap.571D) under the laws of Hong Kong). The Website is not directed at any person in any jurisdiction where (by reason of that person’s nationality, residence or otherwise) the publication or availability of the Website is prohibited. Persons in respect of whom such prohibitions apply or persons other than those specified above must not access this Website. Persons accessing the Website need to be aware that they are responsible themselves for the compliance with all local rules and regulations. By accessing this Website and any of its pages, you acknowledge your agreement with understanding of the following terms of use and legal information. If you do not agree to the terms and conditions below, do not access this Website or any pages thereof.

The information contained in the Website is being provided for information purposes.

Neither information nor any opinion expressed on the Website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. The information contained in the Website does not constitute investment advice or a recommendation and was prepared without regard to the specific objectives, financial situation or needs of any particular person who may receive it. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, most recent annual and semi-annual reports, which can be all be obtained free of charge at www.robeco.com/hk/en and at the Robeco Hong Kong office.

4. Use of the Website
The information is based on certain assumptions, information and conditions applicable at a certain time and may be subject to change at any time without notice. Robeco aims to provide accurate, complete and up-to-date information, obtained from sources of information believed to be reliable. Persons accessing the Website are responsible for their choice and use of the information.

5. Investment performance
No assurance can be given that the investment objective of any investment products will be achieved. No representation or promise as to the performance of any investment products or the return on an investment is made. The value of your investments may fluctuate. The value of the assets of Robeco investment products may also fluctuate as a result of the investment policy and/or the developments on the financial markets. Results obtained in the past are no guarantee for the future. Past performance, projection, or forecast included in this Website should not be taken as an indication or guarantee of future performance, and no representation or warranty, express or implied, is made regarding future performance. Fund performance figures are based on the month-end trading prices and are calculated on a total return basis with dividends reinvested. Return figures versus the benchmark show the investment management result before management and/or performance fees; the fund returns are with dividends reinvested and based on net asset values with prices and exchange rates of the valuation moment of the benchmark.
Investments involve risks. Past performance is not a guide to future performance. Potential investors should read the terms and conditions contained in the relevant offering documents and in particular the investment policies and the risk factors before any investment decision is made. Investors should ensure they fully understand the risks associated with the fund and should also consider their own investment objective and risk tolerance level. Investors are reminded that the value and income (if any) from shares of the fund may be volatile and could change substantially within a short period of time, and investors may not get back the amount they have invested in the fund. If in doubt, please seek independent financial and professional advice.

6. Third party websites
This website includes material from third parties or links to websites maintained by third parties some of which is supplied by companies that are not affiliated to Robeco. Following links to any other off-site pages or websites of third parties shall be at the own risk of the person following such link. Robeco has not reviewed any of the websites linked to or referred to by the Website and does not endorse or accept any responsibility for their content nor the products, services or other items offered through them. Robeco shall have no liability for any losses or damages arising from the use of or reliance on the information contained on websites of third parties, including, without limitation, any loss of profit or any other direct or indirect damage. Third party off-site pages or websites are provided for informational purposes only.

7. Limitation of liability
Robeco as well as (possible) other suppliers of information to the Website accept no responsibility for the contents of the Website or the information or recommendations contained herein, which moreover may be changed without notice.
Robeco assumes no responsibility for ensuring, and makes no warranty, that the functioning of the Website will be uninterrupted or error-free. Robeco assumes no responsibility for the consequences of e-mail messages regarding a Robeco (transaction) service, which either cannot be received or sent, are damaged, received or sent incorrectly, or not received or sent on time.
Neither will Robeco be liable for any loss or damage that may result from access to and use of the Website.

8. Intellectual property
All copyrights, patents, intellectual and other property, and licenses regarding the information on the Website are held and obtained by Robeco. These rights will not be passed to persons accessing this information.

9. Privacy
Robeco guarantees that the data of persons accessing the Website will be treated confidentially in accordance with prevailing data protection regulations. Such data will not be made available to third parties without the approval of the persons accessing the Website, unless Robeco is legally obliged to do so. Please find more details in our Privacy and Cookie Policy.

10. Applicable law
The Website shall be governed by and construed in accordance with the laws of Hong Kong. All disputes arising out of or in connection with the Website shall be submitted to the exclusive jurisdiction of the courts of Hong Kong. 

Please click the “I agree” button if you have read and understood this page and agree to the Disclaimers above and the collection and use of your personal data by Robeco, for the purposes for which such data is collected and used as set out in the Privacy and Cookie Policy, including for the purpose of direct marketing of Robeco products or services. Otherwise, please click “I Disagree” to leave the website.

I Disagree