Rotella Capital Management

RESEARCH &
TECHNOLOGY FOCUS

DISCIPLINED
RISK MANAGEMENT

CONSISTENT ABSOLUTE RETURNS

COVID-19: ANALYSIS AND FORECASTS
Epidemiological study COVID-19 in New York City
2020-04-02

We apply the SIR epidemiological model to the COVID-19 outbreak in New York City.

The data used in this study is the reported number of deaths per day. Assumptions are being made about the mortality … Read more..
An analysis of SARS – CoV2 Data and Forecasts : Introduction
2020-03-26
We are analyzing the existing available data on daily deaths caused by the SARS-CoV2 virus and use that in conjunction with certain simple models to predict the evolution of the disease in certain geographical areas.… Read more..

LATEST NEWS & ARTICLES
Wall Street Quants Are Turning Their Skills to the Virus Fight
2020-04-27
Please see the article by Bloomberg News mentioning our efforts in the COVID-19 crisis.
BATTLEBLITZ Webinar Series: QUANT MODELS UNDER STRESS!
2020-04-16
How the COVID-19 Factor Model, Nowcasting and Updated Risk Parameters Will Save Institutional Allocations
APRIL 16, 2020 10:00AM – 11:00AM EST
Qdeck Rotella ML Long-Only Volatility Program
2020-03-26
Qdeck Rotella ML Long-Only Volatility Program (“MLVP”) is a fully-automated trading strategy designed to complement portfolios consisting of stocks, bonds and momentum.

Adding long VIX futures attains similar exposure to rolled put option exposure. This … Read more..

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