How we create your custom structured product

Market and Economic Data

The core of any of our asset allocation strategies is data. We source data from a variety of providers, including polygon.io for real time and historical market data, the Federal Reserve Bank of St. Louis for economic data, the Federal Reserve Bank of New York for interest rates, the U.S. Securities and Exchange Commission (SEC) for Company filings, and many more.

ETL Process

ETL stands for Extract, Transform, Load and is an overly simple description of a data loading pipeline. In reality, retrieving and storing data involves a lot more, including data validation, dealing with delayed data, corrections, adjustments such as share splits, etc. Our proprietery data pipeline is built with these concepts in mind from the ground up.

Historical Data Store

We store any data required for strategy calculation and backtestin in our own stores, which use a combination of relational databases and in-memory caches. Financial Markets generate an immense amount of data; storing it and making it available for fast consumption is a difficult computer science problem.

Real Time Tick Data Server

We subscribe to various real-time data feeds, which internally need to be redistributed. For this, we developed a multiplexing system that abstracts from the provider, normalizes identifiers, and handles subscription and connection management so that they can used by multiple components in our stack.

Strategy Calculation

Unlike ETFs which are usually rebalanced quarterly or semi-annualy, or QIS indices, which typically are recalculated daily, our strategies are monitored and rebalanced constantly, as needed. This is only possible because our stack is built from the ground up with real-time data in mind; even large financial institutions still operate on an end-of-day basis and overlay the intraday aspect as an after though.

Derivative Hedging Engine

Unlike listed options, the desired payoffs / options can't be directly purchased and need to be replicated. Our replication engine follows the principles of hedging derivatives, which has a well established theoretical foundation. The challenge is to deal with the uncertainty in inputs, non-normal return distributions / sudden jumps in asset prices, and computational limitations. We designed our engine using state-of-the art financial theory and decades of experience acquired at top wall street institutions.

Portfolio Implementation

Once strategy weights and deltas have been calculated, the portfolio implementation engine takes over to trade to the desired weights. The engine nets any offsetting positions to ensure transaction costs are minimized. Unlike a human trader, everything from data ingestion, processing, rebalancing and implementation is blazing fast so that your account adapts to the latest signal faster than any other.

Client Portfolios

Your assets are held by Apex Fintech Solutions, a well established custodian behind multiple financial companies. Your assets are in your name in a segragated portfolio. Only our portfolio implementation algorithms have access in order to perform rebalances, your portfolio is secured by the highest security standards. Even in the highly unlikely event of a complete failure of both GLR and Apex, your assets are still held in your name and can be claimed only by you.

Website Portal

Instituational investors typically receive detailed PnL calculations and performance attributions, whereas retail clients are mostly left with basic account statements. We dial everthing up a notch and bring instituational style reporting to you, in real time.