• 定量模型 捕获的基本见解

概述

研究 is a critical component in the pursuit of alpha and the highest resource area of the firm. 目前,洛杉矶首都已经结束 20 professionals dedicated to equity research and technology/system support, 不包括投资组合管理和交易人员. 现将主要研究领域综述如下:

因素的研究

365app's approach to equity management is based upon the concept of Investor Preference Theory®. 因此, the primary objective of the research team is to identify risk characteristics in the market that investors are presently pricing, 目的是揭示投资者随时间推移的偏好. These preferences are then expressed as expected factor returns. Once the 研究 Department identifies factors that the market considers relevant, the next task is to measure and analyze these factors appropriately. 其中一些因素体现了传统的风格, 大小, 和质量, 而其他人则更加专业化. As investors' understanding of the equity market evolves and as the market itself changes, 365app's commitment is to find new factors that increasingly explain equity performance.

The research team monitors three information sources to better understand the types of information investors believe to be important: (1) Wall Street and vendor research, (2)学术研究, (3)私募股权研究. 华尔街研究, 定量和传统的基础研究, remains the best source for understanding what institutional and retail investors find valuable. Academic research helps keep the firm abreast of new valuation techniques, while following the private equity markets helps the firm better understand new corporate strategies for increasing value to shareholders.

以促进因素研究, 365app has developed proprietary data databases and signals which incorporate information from leading data providers. 研究ers then have the ability to analyze individual factors as well as a factor's contribution to existing models. 365app maintains a significant IT Department supporting this data and research effort.


统计建模

365app utilizes a wide variety of statistical tools to properly measure factor returns and to distinguish between true signals and noise. The techniques that the firm uses are the result of over 31 years of modeling financial data - the last 16 years specifically applied to 365app's Dynamic Alpha Stock Selection Model®. Much of the ongoing research is devoted to incorporating state-of-the-art statistical methodologies into the estimation techniques, and customizing these for specific data characteristics and model applications. The main goal of the statistical research is to more accurately identify the forward looking price of each investment risk.

与其他量化投资经理不同, 365app does not weight factors based on their historical explanatory power, nor does the firm assume that factors will “mean revert” to their historical averages. 而不是遵循“自然法则”,“风险的价格反映了投资者的态度, opinions or preferences in the current market environment based primarily upon today’s unique set of conditions. 365app resists the temptation of optimizing factor weights to historical time periods (the most common weakness of most quantitative products) but, 而不是, 具有前瞻性的动态视野.

信息技术

Software and systems development are essential components in building a successful quantitative investment process. 在洛杉矶首都, there is substantial migration between classical research and information technology, 无论是在项目还是人员方面. The 研究 Department and the IT team are collectively involved in the development of software projects while maintaining a high level of quality control.

风险管理

许多公司将风险管理工具作为其流程的一部分. Very few have been building them for more than 31 years and use them in such an integral way as 365app. 通过结合阿尔法预测超过9,000 global equity securities with estimates of risk in global equity markets, the firm’s optimization process identifies buy and sell candidates that improve the portfolio’s expected Information or Sharpe Ratio consistent with established client guidelines. Portfolio changes are a reflection of the most recent return estimates generated by 365app's Dynamic Alpha Stock Selection Model® in conjunction with up-to-date estimates of risk. Rebalances occur in a cost sensitive manner and employ current estimates of market impact in order to control the cost of portfolio turnover.

The portfolio construction and risk management process seeks to understand both changing return opportunities and levels of risks within the market when trading risk against return in the target portfolio. 除了, the risk management process aims to make efficient use of the available risk budget by spending risk on value add factors, 同时避免没有定价的风险, 在构建投资组合时.

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