How American Century revolutionized their investment platform with R

June 20, 2013
By

(This article was first published on Revolutions, and kindly contributed to R-bloggers)

American Century Investments is a top-20 mutual fund company with more than 125 billion dollars of assets under management. The quantitative investment group manages 22 funds, and takes an objective, systematic and disciplined approach to determine which stocks to buy and sell. Real-time data and carefully calibrated statistical models are the foundation of this quantitative approach.

This group formerly had a disparate blend of closed third-party financial software systems that the found to be costly, cumbersome, and functionally limited. By switching to a Revolution R Enterprise based solution, the quantitative investment group created a scalable, end-to-end system based around R. Multiple teams now use and contribute to an internal R package "rACI" as a way to collaborate and distribute the latest methodology from research to production. With access to the innovations of the open source R community, the research team can go from a validated idea to trading and investing on the idea very quickly. (And as a bonus, code that was previously running on open source R runs 20x faster in Revolution R Enterprise's optimized R engine.) As just one example, this InformationWeek cover story details how the group uses R's igraph package to model the "economic ecosystem":

The application tracks revenue flows among manufacturers and their suppliers. Apple, for example, has suppliers of chips and screens just as car manufacturers have suppliers of components and parts. American Century combines public and proprietary data on those buying relationships, and it applies graph analyses to get a clearer understanding of the likely performance of suppliers. These forecasts are more accurate than what could be developed with forecasts based on quarters-old public financial reports, Sansani says.

AmericanCentury-EconomicEcosystem

The quote above is from Tal Sansani, Quantitative Analyst & Portfolio Manager at American Century Investments. He provided more details on these R-based applications and how the quantiative invertment group uses Revolution R Enterprise in a presentation earlier this year:

 

If you want more details, check out this unedited 25-minute presentation also featuring Sampath Thummati, Investment Management Systems Architect talking about the deployment platform. I've also embedded the slides from their presentation below.

Read more about how American Century Investments uses Revolution R Enterprise in the case study linked below.

Revolution Analytics case studies: American Century Investments Revolutionizes Their Investment Analytics Platform

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