Thematic Alpha Streams Improve Equity Portfolio Performance

Celent will help qualify your requirements and introduce you to the vendor
Spotted a missing vendor? Use this form to alert a vendor to the Celent service
Create a vendor selection project & run comparison reports
Register to access this feature
Click to express your interest in this report
Indication of coverage against your requirements
Vendor requires PRO subscription to activate this feature
Requires research subscription, contact Celent for more info
23 September 2015

We demonstrate one way to combine these alpha streams into portfolios that deliver strong risk-adjusted returns and lower turnover than most news-based portfolios.

In this research, we construct and use alpha streams employing RavenPack data; we demonstrate one way to combine these alpha streams into portfolios that deliver strong risk-adjusted returns and lower turnover than most news-based portfolios.

Not only were we able to extract strong performances from our separate regional and market capitalization-based portfolios, but we also found low correlations between these portfolios so we could harvest the benefits of diversification by combining them.

  • A portfolio combining all sizes/regions delivered an information ratio of 6.0 vs the best separate IR (US small cap) of 4.35.
  • A cross-regional small cap portfolio yielded an IR of 5.36 vs 4.35 for the US and 3.73 for Europe.
  • A US portfolio combining all market caps gave an IR of 4.37 vs 4.35 for US small caps and 2.0 for large/mid-caps.
  • A European portfolio of all sizes had an IR of 4.44 against 3.73 and 2.58 for EU small and mid/large caps respectively.

Access the white paper on http://bit.ly/1U74IJF