Quantitative Strategy
- Quant Commentary
- 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...
- 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...
- 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...
- 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...
- Quantitative Strategy
Alternative Data: Updating Social Media and NLP Signals
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],...
- Factor Strategy
November 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 momentum, which outperformed the S&P 500 index by 4.6%. Value and low-volatility also performed well, outperforming the S&P 500...
- Factor Strategy
October 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 momentum, which outperformed the S&P 500 index by 5.5%. Quality and value also turned in strong performances over...