The US-China Trade Truce Deadline Is Approaching to the End. The deadline of a temporary truce between the US and China – March 1, 2019, is quickly approaching. Although President Trump has signaled that he may consider postponing the deadline for another 60 days if he sees significant progress, senior officials from both countries are speeding up discussions in recent weeks in an attempt to reach a deal, or at least a partial agreement.
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In this month’s Portfolio Compass, we are introducing our Portfolio Tracker suite, essentially a series of one-page performance summary of our key stock selection models, so clients can seamlessly track the live performance of our strategies. The Portfolio Trackers reflect realistic portfolios with institutional constraints (e.g., turnover), short borrowing availability, and transaction costs. For each model, we showcase the performance of four different portfolios – US Large-Cap Market Neutral, Global Large-Cap Market Neutral, US Large-Cap Long Only, and Global Large-Cap Long Only strategies.
In a turbulent year such as 2018, it is not surprising to see low beta and price momentum being the best performing factors, followed by earnings yield and ROE. On the other hand, traditional factors such as size (small cap) and cyclical value (e.g., book-to-market) posted substantial losses in most regions.
For this month’s JQES, we decide to conduct a comprehensive review of all academic papers published in either working paper repositories or peer-reviewed journals in 2018 and 2019 year-to-date. After going through thousands of articles, we pick over 150 papers for this issue.
Brexit is taking the center stage again as the British Parliament voted against Prime Minister Theresa May’s Brexit deal by a large margin on Tuesday, leaving not much time for the UK to achieve an orderly Brexit on the prescheduled date of March 29th, 2019. At the same time, the negotiations between the US and China appears to be making progress, but the clock is ticking towards the deadline of March 1st. Without a deal reached, the fragile market sentiment is likely to take another blow.
In this research, we continue our quest for alternative data based stock selection signals by revisiting RavenPack Analytics – a leading data vendor on news sentiment and text analytics. The goal is to develop an orthogonal signal for longer term investors. This research comprises the third element of our text mining model suite. Combined with our two existing models – the SPEC (Systematic Profiling of EDGAR Composite) and SMEC (Systematic Mining of Earnings Calls), we have a complete library of NLP (Natural Language Processing) stock selection tools.
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