December 2022 Update

in Quantitative Strategy

Quantitative Stock Rating Model: Performance and Discussion Our quantitative stock rating model, launched at the beginning of this year, uses composite factors across five dimensions (value, quality, momentum, estimates, and investment) to predict individual stock performance. The stock rating model produces a list of 100 favored investments from across the S&P 500. The model enjoyed its best month of the …

Quant Stock Ratings – Dec 2022

in Quantitative Strategy

Our quantitative stock rating system provides an objective, data-driven approach to evaluate individual stocks, and how they rank compared to their peers. It produces an overall ranking for each stock that can be used to inform investment decisions. The system evaluates stocks along five dimensions: Value Quality Momentum Estimates Investment These five dimension ratings are then combined into an overall …

Alternative Data: Updating Social Media and NLP Signals

in Quantitative Strategy

Review and Update of Social Media-Based Sentiment Signals In this research note, we update our social media and alternative data-based signals. We have built a proprietary database of comments from the WallStreetBets sub-reddit extending back over two years. We have two products around this database; (1) the Reddit Alert list[1], which includes stocks that have seen an increase in their …

November 2022 Factor Commentary

in Quantitative Strategy

Factor Performance Review We track the performance of six factors (growth, quality, low-volatility, momentum, size, and value) as part of our multi-factor strategy. Over the past month, the best factor was momentum, which outperformed the S&P 500 index by 4.6%. Value and low-volatility also performed well, outperforming the S&P 500 by 4.4% and 3.6%, respectively. The worst-performing factor over the …

Quant Stock Ratings – Nov. 2022

in Quantitative Strategy

Our quantitative stock rating system provides an objective, data-driven approach to evaluate individual stocks, and how they rank compared to their peers. It produces an overall ranking for each stock that can be used to inform investment decisions. The system evaluates stocks along 5 dimensions: Value Quality Momentum Estimates Investment These 5 dimension ratings are then combined into an overall …

October 2022 Factor Commentary

October 11, 2022 in Quantitative Strategy

Factor Performance Review We track the performance of six factors (growth, quality, low volatility, momentum, size, and value) as part of our multi-factor strategy. Over the past month, the best factor was momentum, which outperformed the S&P 500 index by 5.5%. Quality and value also turned in strong performances over the past month, outperforming the S&P 500 by 2.2% and …

September 2022 Factor Commentary

in Quantitative Strategy

Factor Performance Review We track the performance of six factors (growth, quality, low-volatility, momentum, size, and value) as part of our multi-factor strategy. Over the past month, the best factor was low-volatility, which outperformed the S&P 500 index by 2.7%. Value and momentum also turned in strong performances over the past month. The worst factor over the past month was …

Quantitative Stocks Ratings Sep 2022

in Quantitative Strategy

Our quantitative stock rating system provides an objective, data-driven approach to evaluate individual stocks, and how they rank compared to their peers. It produces an overall ranking for each stock that can be used to inform investment decisions.The system evaluates stocks along 5 dimensions: Value Quality Momentum Estimates Investment These 5 dimension ratings are then combined into an overall score …

Quantitative Stock Rating

in Quantitative Strategy

Quantitative Stock Rating Our quantitative stock rating system provides an objective, data-driven approach to evaluate individual stocks, and how they rank compared to their peers. It produces an overall ranking for each stock that can be used to inform investment decisions. The system evaluates stocks along 5 dimensions: Value, Quality, Momentum, Estimates, Investment Scale -2: Strong Underperform -1: Underperform  0: …

Alternative Data: NLP-Based Sentiment

in Quantitative Strategy

Using Natural Language Processing for Corporate Sentiment Earnings announcements, to state the obvious, are important for company and stock performance, and for good reason. Stocks see significant movement around the release of earnings – companies beating earning estimates tend to outperform going forward, while those missing estimates tend to struggle. This post-earnings announcement drift phenomenon has been studied in academia …