Quantitative Strategy
- Quant Commentary
- Social AI
Alternative Data: Reddit Sentiment Reflects Optimism
REDDIT-BASED SENTIMENT We have built a proprietary database of comments from the WallStreetBets sub-reddit extending back over two years. In this research note, we update our short-term market indicator[1] based on aggregate sentiment toward the S&P 500. The short-term market indicator proxies for retail sentiment in the market. It has...
- Factor Strategy
February 2023 Factor Commentary
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 size (small-cap stocks) as the Russell 2000 outperformed the S&P 500 index by 2.1%. The growth factor also turned...
- Quant Commentary
Mid-Earnings Season Update
EARNINGS SEASON – REWARD FOR BEATING HAS FALLEN Last year, we repeatedly noted the tendency for companies that beat earnings estimates to subsequently outperform the index, and those that miss tending to underperform. This observation especially held true during the Q3 earnings season, as the reward for companies that beat...
- Quant Commentary
Market Valuation - Jan 2023
MARKET VALUATION: EQUITIES REMAIN EXPENSIVE We use a residual income model to value the market[1]. The residual income model produces an estimate for the equity risk premium, or the additional return that equity investors are compensated over the risk-free rate. Fig. 1 shows how the equity risk premium has trended...
- Social AI
Reddit Sentiment - 2022 Wrap-Up
REVIEW AND UPDATE OF REDDIT-BASED SENTIMENT INDICATOR We have built a proprietary database of comments from the WallStreetBets sub-reddit extending back over two years. In this research note, we update our short-term market indicator[1] based on aggregate sentiment toward the S&P 500. Our indicator is based on the overall sentiment...
- Factor Strategy
January 2023 Factor Commentary
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 value, which outperformed the S&P 500 index by 3.0%. The quality, low-volatility and momentum factors also all outperformed over...
- Quant Commentary
January 2023 Update
QUANTITATIVE STOCK RATING MODEL: PERFORMANCE AND DISCUSSION Our quantitative stock rating model, launched at the beginning of 2022, 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...
- Quant Commentary
Earnings Season & ML Signal Update
INTRODUCTION As we wrap up 2022, we take one final look at the performance of stocks in and around earnings releases. We also examine how the environment for alpha generation has continued to become more favorable, which should benefit stock pickers into 2023. Lastly, we update our signal that extracts...
- Factor Strategy
December 2022 Factor Commentary
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 growth, which outperformed the S&P 500 index by 1.5%. The growth factor was by far the best-performing factor, the...
- Quant Commentary
December 2022 Update
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...