Multiverse, Protiviti, and Ally Financial Release Study on Using Quantum Annealers for Financial Ind

The purpose of the study performed by Multiverse, Protiviti, and Ally Financial was to construct a portfolio of assets that would track the returns of the Nasdaq-100 and S&P 500 indexes with a much smaller subset of assets. The research was able to accomplish this by reducing the number of assets in the new index tracking portfolios by 4x and 10x respectively. The advantage of limited the number assets, known as cardinality constraints, is that it makes the portfolio much easier to manage. The team also reported that they were able to reduce the risk profile of the target index by a factor of up to 2x. The team was able to achieve these results using D-Wave LEAP Hybrid solver. Future work in this area will be to include additional factors in the analysis such as dividend reinvestments, transaction costs for re-balancing and including other types of assets for building advanced ETF products. Additional information is available in a news release posted on the Multiverse website here as well as a technical paper posted on arXiv here.