We provide the following fundamentals-based quantitative research to complement fund managers’ investment process and help boost performance.
Our methodology brings the best of top-down and bottom-up together.
Top-down: Research has shown that much of a portfolio’s return is determined by high level decisions such as how much allocation is made to equities vs. safer assets, country allocation and sector allocation. Our research is tailored to help fund managers make these important high-level decisions.
Bottom-up: While our research is primarily focused on top-down decisions, the inputs to the analysis are acquired from bottom up. Instead of relying on macro economic indicators to arrive at our conclusions, we use bottom-up estimates of analysts (for earnings, revenue, cash flow, dividends, etc.). In addition, we have stock screens to help fund managers pick stocks from the bottom up after they have made their high level decisions.
We provide market analysis for 40+ markets in the world, which together account for more than 97% of the world’s market capitalization. We provide a valuation of the market based on five valuation indicators (Price to Earnings, Price to Sales, Price to Cash Flow, Price to Book and Dividend Yield) and aggregate estimates of its fundamentals (i.e. earnings, sales, book value, cash flow and dividends). This is to allow fund managers to have an indication of the direction of the market.
We also compare the markets with the world market to give you an indication of whether a particular market is likely to under or outperform world markets.
Even within the same country, different sectors vary widely in performance and the best performing sectors in one year could be the worst performing in the following year. This provides tremendous opportunities to add value by overweighting the right sectors.
For managers who manage their portfolios based on global sector allocation, we provide analysis of global sectors as well.
Most managers will have a slant towards a certain style – the most common being value, growth or size. We believe that while it is important to have a consistent investment style, slanting the portfolio towards a certain style on a tactical basis can significantly improve portfolio returns. Our research will help you to determine which style will outperform in the coming years.
Portfolio Analysis/Manager Selection
We analyze your portfolios to help you determine whether you are moving in line with your investment objectives. For example, if you are managing a value fund, is the valuation of your stocks significantly cheaper than the market or has it move towards the market in recent times? If you are managing a growth fund, is the expected earnings growth of your portfolio companies higher than the market? Are you paying a higher valuation than justifiable?
This analysis could also be used to analyze the model portfolio of third-party managers to gauge their suitability.
Enhancement of Sharpe Ratios
The Sharpe Ratio is one of the most-used indicators for people to compare mutual funds to find the ones with the best risk-adjusted returns. Our research helps you to determine optimal country and sector weights for the purpose of maximizing the Sharpe Ratio by taking into consideration: 1. The expected return of the markets/sectors 2. The volatility of each market/sector. 3. The co-variance of each market/sector with the other markets/sectors. 4. Any weighting constraints the fund may have.
Intelligent Stock Screens
Our stock screens give you extensive coverage of about 16,000 stocks in over 40 countries.
We provide stock screens that are more intelligent and effective because they allow screening based on analysed data and future estimates. For example, in addition to screening for stocks that have valuation below a certain level (e.g. stocks below 10x PE), we allow screening for stocks with valuation that is low in comparison with its own history (e.g. stocks that are below 80% of its average valuation). You can also screen for stocks that are cheap vs. the market.
We also let you screen for stocks based on their expected future growth, analyst revisions, financial condition, earnings quality and operational excellence.
Outsourced Quantitative Research
Do you have quantitative research that you would like to carry out but do not have a quant research team? Let us know your requirements and we will let you know if we can support your needs.