Performance, risk and cost measurement for investment firms, built on your own data.
ScalaQuant builds and runs performance, risk and cost measurement for investment firms.
Most of the difficulty in this work is not the calculation. It is the data underneath it — corporate actions applied inconsistently across sources, positions that don't reconcile to the custodian, composites whose rules changed three years ago and were never written down. We take that on rather than requiring clean inputs before we start.
We built these systems to run our own trading book, where a wrong number costs money the same day. Client work is engineered to the same standard.
Who We Are
Services
Performance measurement and attribution. Return calculation across portfolios, composites and mandates. Composite construction and reporting to GIPS conventions. Attribution by Brinson sector and selection decomposition, or by factor model, at the frequency and level of detail a mandate requires.
Risk analytics. Value at risk, tracking error, ex-ante and ex-post risk decomposition, factor exposures, stress testing and scenario analysis, and limit monitoring against mandate constraints.
Transaction cost analysis. Execution quality measured against arrival price, VWAP and other benchmarks. Slippage decomposition, implementation shortfall, and venue and counterparty analysis.
Data services. Market, reference and alternative data sourcing, cleaning, normalisation and vendor aggregation. Corporate action handling, security master maintenance, and a single reconciled data layer for downstream analytics.
Software and platforms. Risk systems, portfolio analytics platforms, reporting tools and backtesting infrastructure, built into a client's environment or delivered as hosted software.
Model validation and quantitative engineering. Independent validation of pricing, risk and allocation models. Model documentation suitable for audit and regulatory review. Library and pipeline development for teams that require production-grade quantitative code.
Operational support. Position and cash reconciliation, NAV support, and production of client and regulatory reporting.
Index and benchmark construction. Rules-based index design, calculation and maintenance, including custom and strategy benchmarks, with documented methodology and reproducible calculation.
ScalaQuant is built by individuals who think in systems, probabilities, and edge.
Our team is intentionally diverse in background but aligned in mindset. We bring together experience from quantitative research, traditional finance, data science, and machine learning. What unifies us is not where we come from, but how we approach problems: analytically, rigorously, and without bias.
Our team includes Mathematicians focused on structure, modeling, and abstraction, Data scientists specializing in large-scale analysis and signal extraction, Traders & Analysts from traditional finance with deep market intuition and execution experience and Engineers and AI specialists building systems that enhance speed, accuracy, and decision-making.
Our Team
