January Fourth is a private quantitative research firm. We build custom risk models, and we review the ones you already run, in-house or from a vendor.
The firm
Every model is built around one client's portfolio, data, and horizon.
Models come with their assumptions and documentation, and run in-house once we hand them over.
What we do
We build factor models, estimate covariance, and design stress tests for funds, allocators, and trading desks.
We review in-house and vendor models, covering specification, estimation, and failure modes. We write the review for your investment committee.
You bring a specific question, like a factor that stopped paying or a correlation that only breaks in a selloff, and we chase it down in your data.
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