Investment Process
Lumenai’s investment process follows a repeatable five-step framework that adjusts portfolio exposures based on evolving market patterns.
Step 01
Select Universe
We define a high-quality investment universe aligned with client objectives and liquidity requirements
Key criteria:
Securities sourced from major indices
Strict standards for data integrity
Liquidity and pricing frequency requirements
Step 02
Score & Rank
Supervised learning models evaluate securities based on signals that perform best in the current market regime.
Key signals:
Volatility & trend stability
Fundamental strength
Risk-adjusted return potential
Pattern similarity to past winners
180,000+ data points
500 signals
20,000 features
Step 03
Cluster
Unsupervised learning groups securities with similar behaviour to identify regimes and remove outliers.
What this enables:
Market regime detection
Identification of factor drivers
Removal of anomalous securities
Step 04
Fine Tune
Portfolio construction incorporates investor constraints and trading thresholds.
Portfolio controls:
ESG filters
Tax optimisation rules
Sector caps
Turnover thresholds
Portfolios are built using equal or optimized weights from the highest ranked securities.
Step 05
Execute & Oversee
Portfolios are implemented and monitored through Lumenai’s OMS/PMS infrastructure.
System monitors:
Market behaviour and drift
Corporate actions
Compliance rules
Performance reporting
This five-step process enables Lumenai portfolios to self-learn and self-adapt — without human bias or delay.
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