The Science of Uncertainty
We forecast volatility and develop risk-mitigation models using Data Science, ML, and AI
About
Muir Capital Intelligence
The Future of Markets
Volatility will continue to increase at an accelerated rate in equities, commodities, and forex due to:
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Increased volume of sophisticated technology deployments to the markets leveraging AI transformer-based models with unlimited compute capacity.
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An unprecedented volume of capital seeking returns.
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Near real-time dissemination of information to both humans and bots that have the ability to execute market transactions with near-zero latency.
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Nuanced inter-market relationships with strong downside correlation due to alternative alpha-seeking that is funded via unstable forex and rate-based cross-border arbitrage (aka "carry trades").
Quantitative for
Discretionary
We believe that discretionary funds possessing deep market-domain expertise, intuition, and experience have a distinct competitive advantage -a human advantage -that can't be usurped by robots and AI. Moreover, our research predicts that over the next 10 years, purely Quant funds will face daunting competition (due to a proliferation of similar/identical models and strategies), which will result in dramatically diminished returns on deployed capital.
The optimal path forward is to couple discretionary alpha-generating strategies with quantitative risk reduction.
Our Focus
Our primary focus is on the denominator of risk-adjusted return. Volatility isn't symmetric; upside volatility is desirable and long-tail returns can be the difference between a good and bad year. Our proprietary models not only forecast volatility but they also classify it. Our goal is to enable you to maintain (or increase) exposure during times of positive/healthy volatility while simultaneously forecasting and alerting you to significant near-term deleterious volatility thus allowing you to avoid and/or hedge large drawdowns.
Products
Macroeconomic Health Model
Our Macroeconomic Health Model (MHM) classifies and quantifies the strength of the U.S. economy on a monthly basis. The factors included in the model represent a wide variety of leading economic indicators. MHM provides a salient signal of impending trouble in the economy in advance of price declines in the equities market.
MHM can be used as a long/short trend-following equities strategy in and of itself, or it can be leveraged for hedging existing long positions and optimizing portfolio-level beta.
Volatility
Prediction Engine
(U.S. Equities)
Our Volatility Prediction Engine (VPE) for U.S. Equities provides a forecast of volatility for DJIA, S&P500, Nasdaq, and Russel 2000 over the next 1-10 market days; it provides a specific forecast of the percent change in volatility from today to each Nth day in the 10-day forecast horizon. This model updates daily and ingests terabytes of data from the European and Asian overnight sessions, which it combines with features derived from complete options-chain data for the past five U.S. trading sessions, Level-2 futures data for all major world equity indices, and a host of other proprietary features.
Gold Hedge
Our Gold Hedge product is designed to provide a liquid hedging layer that compliments momentum strategies for global equities. This model updates monthly (end of month) and provides a three-month return forecast for GLD (NYSE). We also offer an alternative version for GC futures on COMEX. This model couples well with our MHM product for managing and mitigating portfolio-level risk.
Idiosyncratic Risk
We build equity-specific models for publicly traded companies that: 1. Rely heavily on raw physical commodities as inputs (e.g. CPGs), and/or 2. Have a bottom line that is strongly impacted by severe weather events (e.g. insurers).
We focus on these companies because we are able to engineer unique explanatory features from alternative data sources and thus provide look-ahead insight that is not yet reflected in price or performance & valuation metrics.
These models run daily and provide forecasts of price and volatility (per symbol) at the following horizons: 1-day, 5-day, 10-day, 1-month, 2-month, 3-month, 6-month, and 12-month.
Portfolio
Optimizer
Our Portfolio Optimizer product is designed specifically for trend-following CTAs.
Over any consecutive five-year period since 1982, it increased portfolio-level risk-adjusted return by an average of 23% for typical long/short trend-following systems that hold at least ten unique assets and operate in liquid markets.
This product is available as a secure web application and as an API that can be integrated with most middleware and trading platforms. It does NOT require access to your brokerage accounts.
Note: this product is the result of combining two of our earlier software-based products: Tactical Allocator & Hedger (TAH) and Active Portfolio Manager (APM). The result is the same but with a streamlined user experience and onboarding procedure.
We offer a short-term trial of this product. Contact us for details.
Why Choose
MCI
Expertise
Muir Capital Intelligence brings unparalleled expertise in financial science, data analysis, and market intelligence, enabling our clients to gain a significant advantage in the competitive financial landscape.
Experience
With a proven track record of delivering impactful solutions to leading CTA's and macroeconomic hedge funds, we have established ourselves as a trusted partner in driving performance and profitability.
Insight
Our in-house research teams are dedicated to delivering customized insights and actionable intelligence, empowering our clients to make well-informed decisions and stay ahead of market trends.
Get In Touch
We're headquartered in beautiful Leucadia:
1434 Hermes Avenue
Encinitas, CA 92024