Search Coverage List, Models & Reports
Search Results1-10 out of 131
On December 29th and 30th, 2018, we held our 2nd annual global quantitative and macro investing conference in New York City. Over 400 buy-side investment professionals, academics, and researchers from Europe, US, Canada, China, Japan, and Australia attended the event.
Following October’s broad sell-off in global equities, volatility remains elevated in November. The S&P 500 index experienced a roller-coaster ride and ended the month with a 2% gain, thanks to Fed Chairman Powell’s dramatic change in tone on interest rates. The G20 summit in Buenos Aires, especially the dinner between the US and China, seems to have assured the markets at least a temporary ceasefire between the two largest economies of the world.
Last week, we introduced SHIELD, Systematic Hedging for Investors to Evade Large Drawdowns. SHIELD is a quantitative stock selection model trained to hedge against market meltdowns. Using advanced machine learning techniques, we design a systematic multi-factor model to shelter investors during stormy markets yet remain resilient during a market recovery. SHIELD is superior to conventional defensive strategies such as low volatility, high quality, and low beta. These traditional defensive strategies tend to perform reasonably well during market downturns but underperform significantly when markets recover. However, SHIELD’s armor can withstand both market selloffs and recoveries.
In recent weeks, global equity markets experienced multiple severe selloffs. Market jitters compound as investors concern about lackluster earnings, further rate hikes, and geopolitical events. During periods of elevated volatility and market uncertainty, investors often look to defensive strategies to weather a market storm. Investors tend to position towards low volatility, high quality, and low beta stocks to counteract market volatility. These strategies tend to perform reasonably well during market downturns, but lag behind significantly if market recovers. To address this asymmetric performance profile, we introduce the SHIELD strategy, which stands for Systematic Hedging for Investors to Evade Large Drawdowns.
The rapid development of information technology and AI is creating opportunities that we have never thought possible before; and at the same time is generating new and unprecedented challenges to society. In this research, we focus on stock picking within the global TMT – Technology, Media, and Telecom space, consisting of nearly 2,500 stocks and over $15 trillion in total market capitalization. The recent volatility of the sector, triggered by a sequence of macro events, has once again highlighted the need for investors to capture alpha via better stock selection.
In October, US and global equity markets suffered from one of the worst selloffs since the 2008 financial crisis. Market volatility also spiked. Economic growth, policy, and investor uncertainty in China remains at elevated levels.
- 1 of 14
- next →