Marnello LLC is a California quantitative research firm. It builds a documented factor library and turns it into monthly market reviews, portfolio attribution reports and substantiation files. Sample issues are produced on publicly available daily prices, with their limitations stated in each document.
Manager
Every deliverable is approved and released by the Manager. M.A. Statistics, Columbia University. B.S. Applied Mathematics and Statistics, UCLA. Quantitative research work at ETF Global Financial Services, Acceleration Capital Group and T3 Live: index applications, volatility modelling, dynamic hedging, cointegration and volume models, and screening models in Python.
Factor library · validation record · portfolio and attribution reports
The factor library and every report come from the same engine and the same data, so a number on one page is the number on every other. The library and its tests are printed in the Factor Library Validation Record; the monthly review, the Note and the essays are on Research.
Measures and describes the characteristics of a portfolio, a factor, or a manager's return series.
"Your portfolio has a momentum loading of -0.07."
The figure is from the Portfolio Evidence Report sample.
Opine on the value or advisability of securities, or on what any investor ought to hold.
"You should reduce your momentum exposure."
| Boundary | How it is enforced |
|---|---|
| No discretion | No client assets held, no trading authority for any person. API access, added after commercial launch, is read-only |
| No solicitation | No marketing material references specific securities as opportunities. The screening tables in the Core review are mechanical decile listings and express no view on any security |
| No performance-based fees | All fees are fixed: subscription, per file, licence, or project. No fee is based on the performance of any account or security, and Marnello takes no commission, revenue share, or payment from any fund, index provider, exchange or data vendor named in its research |
Marnello LLC is a California limited liability company. It is not registered as an investment adviser and does not provide personalized investment advice. Entity details and disclosures are on the Disclosures page.
Enquiries: research@marnello.co · (626) 321-3468 · Contact