Matrix Alpha Analytics

Matrix Alpha Analytics provides data analysis services to fund managers.

The company specializes in the evaluation and back-testing of trading strategies and market data using analytics software developed in-house. The company's services are built around its analytics engine and a proprietary database that holds cleansed and cross-checked data on a broad range of equities, indexes, options and futures. The securities data covers over 30,000 listed and delisted securities going back to the early 1980s. The options data covers all contracts traded on CBOE and other US exchanges since 2001.

Research Areas

Matrix specialises in testing statistical arbitrage strategies - specifically combinations of entry and exit signals within a constrained multi-instrument portfolio, simulating, for example, constraints from brokers and slippage.

There is a key emphasis placed on calculating alpha by comparing each trade within a trial system to a custom built index created for that trade from qualifying securities. Many systems, in our experience, turn out to produce results that are equivalent to random selection, although random results, espcially from restricted universes, often look good when displayed on a linear chart.