Objective
The investment objective of this portfolio is to provide higher risk adjusted returns, and growth with lower volatility.
Strategy Description
The equity universe is selected based on extensive fundamentals research over the years and is primarily focused on US Large cap high quality growth and value stocks. Currently there are 220 equities across all major sectors.
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 rebalancing is weekly and the portfolio ensures that sector / industry overweighting does not occur.
- The portfolio also uses a hedging strategy to guard against major drawdown in the stock market.
- 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 Large Cap Portfolio significantly outperformed the S&P 500 performance for the period July 3, 2017 – December 30, 2022. The portfolio rebalances on a weekly basis by applying StockSnips MSDX Sentiment Signals, and selects the top 30 stocks from a universe of ~220 US Equities. The 3 year annualized portfolio return was 12.85% vs. the S&P 500 annual return of 7.76%.