Case Study: Fulcrum Asset Management achieves faster, more accurate, scalable risk management with MathWorks MATLAB

Fulcrum Asset Management Develops Custom Quantitative Risk Management System

Fulcrum Asset Management, a London-based hedge fund manager, needed an accurate, agile, and scalable risk management system to monitor portfolios, enforce limits, and implement hedges. After rejecting packaged solutions that lacked model accuracy and control over inputs, Fulcrum turned to MathWorks and used MATLAB to build a custom risk engine that could incorporate the firm’s research and fund managers’ expertise.

Using MathWorks' MATLAB and toolboxes (Database Toolbox, Datafeed Toolbox, Econometrics Toolbox, Optimization Toolbox, Parallel Computing Toolbox, and MATLAB Compiler), Fulcrum integrated SQL Server position data and market feeds, implemented GARCH estimation, simulation, scenario testing, and constrained optimizations, and deployed a standalone GUI. The MathWorks solution sped calculations from about an hour in spreadsheet systems to a few minutes—and to tens of seconds on an eight‑core machine—improved VaR accuracy and breach consistency, streamlined data integration and reporting, and enabled faster, more effective hedging.

Fulcrum Asset Management

Athanasios Bolmatis

Director