In today’s briefing:
- Screening for GEMs: November 2022
- Volatility-Based Equity Allocations
Screening for GEMs: November 2022
- An overview (and output) of our machine learning-driven GEM screening model, which seeks to find the best medium-term long ideas within the top100 stocks in the MSCI GEM Index.
- The model is based on 1) a quantitative multifactor screening model, enhanced by two AI Technology-based approaches; 2) a Deep Neural Network model, and 3) a Recurrent Neural Network model.
- Developed over roughly 4 years and implemented in its current state for over 2 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.
Volatility-Based Equity Allocations
- The VIX currently trades within its top quartile since 1990
- Using volatility to time equity allocations is a widely used strategy
- However, it is challenging to pursue this over the long-term
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