Labs-Forge-Works
Quant Foundry ultimate value comes from the development of IP that can be rolled out as self-service offerings and more leading edge toolkits. Quant Foundry is organised around the three divisions Labs-Forge-Works: –
- An incubator – Quant Labs – bringing about cutting-edge and innovative model-driven solutions to solving real-world, persistent and hard-to-solve problems. Quant Labs work with academic bodies for joint research as well as independent validation.
- A consulting offering – Quant Forge – uses the tools built in Labs as accelerators for client engagements. The Forge team provide the Labs team feedback on viability based on real-world testing.
- A team augmentation offering – Quant Works – provides clients with quantitative skillset during short periods. Works offers an entry-level product for clients new to Quant Foundry.
History
At its inception in September 2018, Quant Foundry secured quantitative team augmentation contracts with two clients. Although being a low-margin business, this enabled the founders to bootstrap the Labs offering and raised their profile within the quant community. Q1 2019 saw the company secure its first Works consulting engagement with a pension fund vendor to replace their government bond curves.
Recognising the urgency and opportunity of bringing about a scientific approach to assess the financial impacts of climate change on the world economy, the founders dedicated substantial Labs effort to develop an innovative modelling solution that could integrate climate change risk onto traditional enterprise risk management frameworks.
Move to ESG and Climate Change
During the first half of 2019, the Labs team built its first prototype that would address the lack of quantitative measures in ESG by focusing on climate change. The results was the “Quant Foundry Climate Change Corporate Credit Model (QF4CM)“. The Labs team collaborated with the Grantham Institute’s Integrated Assessment Model, to complete a review of the susceptibility of the European utility sector which culminated in a joint academic paper. The paper validates the approach as a research and policy model and has been shared with the Bank of England.
The founders worked on the first commercialisation of the concept deployed SaaS offering with a global insurance and asset manager in partnership with an energy consultancy in Q4 2019 thus validating the commercial viability of the QF4CM framework.
In early 2020 QF recognise that the analytical tools designed for climate change provide the analytical framework for other risk factors in ESG. Primary focus is on Environmental as they are most objective, but the detailed analytics used in QF4CM of how companies respond has allowed QF to make the causality link primarily to Governance.
Livestock, Agriculture and Land Stress
QF Labs division has been working on building out their footprint to support other areas of the “E” in ESG. This has led them to work on a number of initiatives in agriculture using, as an example, satellite imagery for climate estimation and crop choice optimisation. In the summer of 2019, QF worked with Discnet to conduct pure research to develop a proof-of-concept Machine Learning tool that could recognise the lameness in dairy cows using video footage. In 2020 QF entered a joint venture with the University of Bristol’s School of Veterinary and received a grant from InnovateUK to start field trials.
Quant Foundry has developed risk-based tools such as operational risk, network-based stress testing, liquidity risk and activity monitoring (AML) to support collaboration with risk vendors such as Risk First, KRM22 and Corda/R3 as well as fintech players such as Agxio, Stream Financial, Norman & Sons, Phundex and Cofndrs.
Move to mass-market
Quant Foundry is bringing together key elements so that they can take solutions built in Labs to a mass-market audience in 2020. We are not there yet, but please watch this space.