Objective

The investment objective of this portfolio is to provide long-term capital appreciation.

Strategy Description

The portfolio seeks to select US Large, Mid and Small Cap equities that are intrinsically high in News Media Sentiment quality factor and have a favorable Sentiment Momentum signal. The portfolio is actively managed with the goal of selecting the best investment opportunities while limiting volatility.

Key Features

The trading strategy is Equal weight and the top 30 stocks in this universe are picked using a bi-factor model that blends Daily Sentiment and Sentiment Momentum (Change in sentiment over the 50-day moving average).The portfolio uses quantitative modeling leveraging the alpha generating ability of AI/Big data on sentiment.

  • The Quality All Cap universe is selected based on Asset Size, Quality factors, Volatility and news media coverage volume. Currently this comprises of 300 plus US equities across sectors.
  • Certain industries carry greater variability with respect to their cash flow and profit growth.
  • The portfolio uses quantitative modeling leveraging the alpha generating ability of AI Sentiment. Advanced Natural Language and Machine Learning algorithms transform unstructured textual data to quantified real-time sentiment signal using news articles from established sources and asserts the sentiment of each financially “oriented” sentence within an article.
  • These snippet level assertions are aggregated at the ticker level and is a measure of investor sentiment. Removal or reduction of a position in the portfolio is considered when any of the selection criteria deteriorates.

Model Performance

The US Equities Quality All Cap Portfolio significantly outperformed the S&P 500 performance for the period July 3, 2017 – June 30, 2022 by applying the sentiment signals to rebalance the 30 stock portfolio. The cumulative portfolio return for the period was 161.56% vs the S&P 500 cumulative return of 73.63%. The volatility of the portfolio demonstrates a beta score of 0.98 and a Sharpe Ratio of 0.92.