Our Methodology

The methodology for trade selection and portfolio allocation is based on our quantitative investment and risk management process that will enhance the performance, scalability and predictability of an investment management activity.

Why Us?

In any competitive market environment it is essential to have an Industry leader as your partner. BLU Financial Systems™ is your financial systems solutions partner with a proven track record, professional experience and the technical expertise to ensure your success. more

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BLU Portfolio Allocation

The optimisation methodology permits the portfolio allocation to be evaluated with inputs such as:

Concentration limits
Maximum daily portfolio
Volatility
Maximum absolute drawdown

The user provides these inputs and by using different statistical approaches, model portfolios can be generated. These inputs take account of the qualitative assessments of the user.

Every trade is assessed and monitored for its return volatility, maximum drawdown and probability of a drawdown and is sized based upon a maximum portfolio drawdown limit over a pre-defined time horizon.

The system is developed under Matlab © and is also utilizing publicly known Statistical and numerical methods. The application has an Excel Interface module to facilitate the use and manipulation of input and output data.

Financial Products

Our Nikopolis system provides a fully featured Front Office derivatives pricing and risk engine, covering the full range of capital markets instruments including swaps, caps, floors, swaptions, bonds, bond options, deposits, FX, futures, FRAs, options, and even exotic options ... more