A wealth management team wanted an effective way of identifying and explaining portfolio recommendations.
Specifically: when a given currency goes up, what else rises with it? Are there groups of securities that move together?
Approach
Gramener sourced public and private data from the bank to create a correlation matrix of intra-day data across all securities, presenting it as a visual interactive dashboard.
The matrix was also clustered hierarchically to group similar securities, with similar blocks.
Outcome
Clients began trading more actively based on the increased visibility of the correlations.
A client with a JPY and SGD portfolio consolidated into JPY, with a GBP hedge - the largest trade for our client that year.
Each cell shows the correlation between pairs of currencies, commodities and stock indices,
either as a number (from -100 to +100) or as a scatterplot.
These are clustered based on their similarity, revealing groups of securities that move with or against each other.