Quant Commentary
Quantitative Strategy
Quant Commentary
Quantitative Strategy
- Quant Commentary
- 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...
- 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...
- 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...
- Quant Commentary
Rise of the Stock Pickers
While the market has struggled so far in 2022, the environment for stock picking has been favorable.Historically, when value outperforms growth, more stocks outperform the overall benchmark. Such an environment provides a tailwind to stock picking.Stocks are also moving independently of one another. We provide two measures to evaluate the...
