CASE STUDY

Empowering Dynamic Portfolio Construction with a Risk-Adjusted Momentum Model

Garanti BBVA Portföy

Garanti BBVA Portföy is one of Türkiye’s most established and innovative asset management firms, and notably the first portfolio management company established in Türkiye. It offers a wide spectrum of investment products, including mutual funds, pension funds and discretionary portfolios. Known for its disciplined investment philosophy and commitment to transparency, the firm serves institutional and retail clients across Türkiye. With a strong focus on technological innovation and data-driven processes, Garanti BBVA Portföy consistently seeks to enhance its research capabilities and develop systematic strategies that can respond to evolving market conditions.

Key insights

The streamlining of data retrieval and factor scoring has enabled analysts to shift their focus from manual processes to insight generation.

The momentum signals produced by the model are now used directly within the portfolio optimization process by the analysts.

The framework is adaptable across geographies and index families. Garanti BBVA Portföy uses the model for multiple equity universes, both domestic and international, enabling a holistic approach to opportunity identification and strategic allocation.

BQuant Desktop makes it easy to share models within our firm’s investment teams. The team member who developed a model can publish it as a BQuant Application to the Terminal Launchpad of their permissioned colleagues within the firm, without having to reconstruct the underlying Python code.

Emre Paydas,
Assistant Fund Manager, Multi Asset, Garanti BBVA Portföy

Situation

Garanti BBVA Portföy sought to streamline and enhance its factor-based research framework so its investment teams could track and evaluate sectors and single stocks within benchmark indices using advanced factor models.

Evaluating multiple indices and sectoral universes across several factor dimensions wasn’t scalable with spreadsheet-based workflows.

Gathering timely market and financial data manually was time consuming and prone to inconsistencies.

Problem

Garanti BBVA Portföy’s spreadsheet-based momentum analysis had four main drawbacks:

Inefficient data aggregation

Gathering timely market and financial data manually was time consuming and prone to inconsistencies.

Siloed research tools

Traditional tools limited the team’s ability to seamlessly combine data from different markets, sectors and asset classes.

Strategy scalability

Evaluating multiple indices and sectoral universes across several factor dimensions wasn’t scalable with spreadsheet-based workflows.

Portfolio construction gaps

Integrating research signals, such as momentum, into actual portfolio construction required custom development and operational alignment.

Solution

Working with Bloomberg, Garanti BBVA Portföy’s Multi Asset, Equity and Research team’s users replaced their time-consuming, error-prone process with a streamlined process within BQuant Desktop.

The solution Garanti BBVA Portföy implemented using BQuant Desktop is centered on a risk-adjusted momentum model.

Risk-adjusted momentum model

This model evaluates equity securities across various indices and sectors by combining recent performance trends with volatility-based adjustments to identify statistically robust investment opportunities.

Broader stock universe

With BQuant Desktop, portfolio managers are able to run momentum screens across the entire stock universe, rather than the limited subset they could previously analyze using manual spreadsheets.

Development, backtesting and visualization

BQuant Desktop streamlined the flow of data into Garanti BBVA Portföy’s Python-based analytics, enabling rapid development, backtesting and visualization of model behavior across market regimes.

Model sharing

BQuant Desktop makes it easy to share models within our firm’s investment teams.

BQuant Desktop has significantly decreased the time required for data collection. The ability to incorporate data directly into our model within the sandbox environment has been a major advantage, giving us complete confidence in the accuracy of the data and reducing time spent on verification.

Faruk Demirkol
FRM, Senior Portfolio Manager, Garanti BBVA Portföy