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 – December 30, 2022. The portfolio rebalances on a monthly basis by applying StockSnips MSDX Sentiment Signals, and selects the top 30 stocks from a universe of ~300 US Equities. The 3 year annualized portfolio return was 14.27% vs. the S&P 500 annual return of 7.76%.