Financial models

News Sentiment Data Proves Itself as an Alternative to the Fama-French Model in Determining Outsized Returns, According to Latest Research from Acuity Analytics

Retrieved on: 
Tuesday, July 20, 2021
Mathematical finance, Finance, Money, Academic disciplines, Financial models, Natural language processing, News analytics, Quantitative analysis

LONDON, July 20, 2021 /PRNewswire/ -- In their latest quantitative research published today, Acuity Analytics share their recent findings on the use of a macroeconomic factor model for stock returns using news sentiment data.

Key Points: 
  • LONDON, July 20, 2021 /PRNewswire/ -- In their latest quantitative research published today, Acuity Analytics share their recent findings on the use of a macroeconomic factor model for stock returns using news sentiment data.
  • The report titled, 'News Sentiment Factor Models for Asset Returns' compares the use of factor models in estimating the covariance of capital asset returns.
  • The Fama-French 3-factor model has been used extensively by researchers and investors since its origin in 1992 but like any model, has its limitations.
  • The publication of this study comes just 4 weeks after the official opening of Acuity Analytics in Spain and their R&D Hub.

United States Municipal Bond Pricing Service 2021 - ResearchAndMarkets.com

Retrieved on: 
Friday, July 2, 2021
Professional services, Finance, Financial economics, Finance, Money, Economy, Pricing, Financial models, Swaps, Financial markets, Bootstrapping, Valuation, Bond

The "US Municipal Bond Pricing" database has been added to ResearchAndMarkets.com's offering.

Key Points: 
  • The "US Municipal Bond Pricing" database has been added to ResearchAndMarkets.com's offering.
  • The service provides daily end of day pricing for either select bonds or the entire database of 1.25 million US Municipal Bonds.
  • Along with the daily data, the analyst supplies 8 years of historical data.
  • The method reduces risk by providing more market-driven evaluations than traditional methods (such as bootstrapping, interpolation, and matrix pricing).

AlternativeSoft - Quant Insight: Rachev Ratio, How Is It Calculated, and Does It Help to Prevent Drawdowns?

Retrieved on: 
Tuesday, June 1, 2021
Professional services, Finance, Fields of mathematics, Financial ratios, Finance, Articles, Rachev ratio, Financial risk modeling, Financial models, Linear programming, Drawdown, Ratio

It goes without saying that the lower this ratio is, the higher is the probability of extreme gains relative to extreme losses.

Key Points: 
  • It goes without saying that the lower this ratio is, the higher is the probability of extreme gains relative to extreme losses.
  • In this article we will evaluate whether Rachev Ratio can be a metric used to avoid significant drawdowns.
  • The lowest 4 Rachev Ratios between 2005 and 2019 ended up having Max Drawdowns ranked in the top 5 in 2020.
  • AlternativeSoft provides a wide range of analytical tools for Asset Selection and Portfolio Management, including Rachev Ratio analysis across Peer Groups and Watchlists.

The Difference Between the Sharpe Ratio (“SR”) and the Smart Sharpe Ratio - AlternativeSoft

Retrieved on: 
Thursday, May 27, 2021
Professional services, Data management, Technology, Finance, Other Science, Science, Finance, Money, Financial ratios, Economy, Mathematical finance, Financial risk modeling, Financial models, Sharpe ratio, Investment, Drawdown, Sharpe, Alpha

The Sharpe Ratio (SR) does not consider sharp drawdowns, while Smart Sharpe Ratio does.

Key Points: 
  • The Sharpe Ratio (SR) does not consider sharp drawdowns, while Smart Sharpe Ratio does.
  • View the full release here: https://www.businesswire.com/news/home/20210527005597/en/
    Sharpe Ratio is one of the most used metrics for Asset Analysis in the investment industry.
  • The ratio simply measures the excess return over volatility; hence it does not forecast the future.
  • Anything below 1 is considered sub-optimal, while anything above 2 is regarded as good, and above 3 is excellent.

Bernstein Research Introduces "Alphalytics" Tool to Better Quantify Value of the Global Asset Management Industry

Retrieved on: 
Thursday, April 8, 2021
Finance, Money, AllianceBernstein, Financial economics, Financial markets, Investment management, Financial risk modeling, Financial models, Actuarial science

NEW YORK, April 8, 2021 /PRNewswire/ --Bernstein Research, the leading global sell side research arm of AllianceBernstein L.P. ("AB") (NYSE: AB), has officially rolled out a first-of-its-kind "Alphalytics" tool to better quantify and effectively measure the skillsets and value of the global asset management industry.

Key Points: 
  • NEW YORK, April 8, 2021 /PRNewswire/ --Bernstein Research, the leading global sell side research arm of AllianceBernstein L.P. ("AB") (NYSE: AB), has officially rolled out a first-of-its-kind "Alphalytics" tool to better quantify and effectively measure the skillsets and value of the global asset management industry.
  • Through an interactive, web-based platform, Alphalytics analyzes, compares and identifies idiosyncratic returns, long term and tactical style tilts, andother attributes for thousands of asset management products spanning various asset classes.
  • Asset owners can use the tool to identify products that best suit their needs and construct fund portfolios that offer the desired style exposures and the most diversified returns.
  • Additionally, asset managers can leverage Alphalytics to measure a manager's skill and value as well as diagnose and fix problems.

DAR announces January 2021 crypto Exchange Vetting and Asset Vetting results

Retrieved on: 
Monday, January 11, 2021
Financial economics, Financial models, Economy, Economics, Academic disciplines, Pricing, Financial markets, Asset, Asset pricing, Vetting, Valuation

NEW YORK, Jan. 11, 2021 /PRNewswire-PRWeb/ --Digital Asset Research (DAR), a leading provider of crypto data and research, today announced the results of its January 2021 Exchange Vetting and Asset Vetting processes.

Key Points: 
  • NEW YORK, Jan. 11, 2021 /PRNewswire-PRWeb/ --Digital Asset Research (DAR), a leading provider of crypto data and research, today announced the results of its January 2021 Exchange Vetting and Asset Vetting processes.
  • The results of the Exchange Vetting and Asset Vetting processes are used by DAR clients to determine accurate asset prices and to identify safe venues in the market.
  • Results are also used in the FTSE DAR Reference Price , a robust hourly reference price for digital asset market performance.
  • DAR's Exchange Vetting and Asset Vetting processes are used for individual asset pricing and DAR Sector Indexes.

Qontigo Launches a Global Equity Linked Factor Risk Model

Retrieved on: 
Thursday, December 3, 2020
Financial law, Financial risk, Financial models, Financial risk modeling, Draft:Qontigo GmbH

NEW YORK, Dec. 3, 2020 /PRNewswire/ --Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, launched its first Worldwide Equity Linked Factor Risk Model, providing targeted factor exposures through a combination of the Axioma US, Developed Markets ex-US and Emerging Market Equity Factor Risk Models.

Key Points: 
  • NEW YORK, Dec. 3, 2020 /PRNewswire/ --Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, launched its first Worldwide Equity Linked Factor Risk Model, providing targeted factor exposures through a combination of the Axioma US, Developed Markets ex-US and Emerging Market Equity Factor Risk Models.
  • The Axioma Worldwide Equity Linked Factor Risk Model leverages a state-of-the-art modeling technique offering a number of benefits for end users including:
    "The best risk model is always going to be the one that is most closely aligned to your investment process," said Alessandro Michelini, Head of Portfolio Solutions at Qontigo.
  • The Axioma Worldwide Equity Linked Factor Risk Model is available as a flat file and application file format in both short- and medium-term horizons that are updated daily.
  • This latest launch follows the release of the Axioma Developed Markets ex-US Equity Factor Risk Model in September.

Qontigo Releases Developed Markets ex-US Equity Factor Risk Model

Retrieved on: 
Thursday, October 1, 2020
Financial law, Financial risk, Financial models, Financial markets, Financial risk modeling, Economy

NEW YORK, Oct. 1, 2020 /PRNewswire/ --Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, has announced the release of the Axioma Developed Markets ex-US Equity Factor Risk Model (AXDMxUS4) as part of its Equity Factor Risk Model Suite.

Key Points: 
  • NEW YORK, Oct. 1, 2020 /PRNewswire/ --Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, has announced the release of the Axioma Developed Markets ex-US Equity Factor Risk Model (AXDMxUS4) as part of its Equity Factor Risk Model Suite.
  • This newly launched model allows investors to capture factor exposures and risks in developed markets without the weight of the US and results in superior alignment with investors' unique strategies.
  • "The additional flexibility caters to unique mandates rather than offering an overarching view of risk from a global model."
  • The model covers 20,000 securities from 24 markets and includes 13 market-based and 15 fundamental style factors estimated daily to provide deeper insights into short and medium-horizon risk.

Qontigo Embeds Axioma Factor-based Fixed Income Risk Model in Axioma Risk

Retrieved on: 
Monday, July 27, 2020
Financial law, Financial risk, Fixed income, Investment management, Bond, Investment, Draft:Qontigo, Financial models, Financial economics, Finance, Economy, Financial markets

NEW YORK, July 27, 2020 /PRNewswire/ -- Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, has announced the integration of the Axioma Factor-based Fixed Income Risk Model in their enterprise portfolio risk management system, Axioma Risk.

Key Points: 
  • NEW YORK, July 27, 2020 /PRNewswire/ -- Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, has announced the integration of the Axioma Factor-based Fixed Income Risk Model in their enterprise portfolio risk management system, Axioma Risk.
  • Style-oriented fixed income factor investing has grown in popularity and according to Greenwich Associates, 70% of investment managers see large opportunities for fixed income factor investing over the next few years.
  • The Axioma Factor-based Fixed Income Risk Model uses advanced modeling techniques to reliably capture systematic risk in a number of ways, including a more accurate issuer classification system and the estimation of bond specific risk from both issuer and issue-specific spread risk.
  • "The Axioma Factor-based Fixed Income Risk Model enhances an already market-leading multi-asset risk platform and delivers an innovative solution to enable both a new style of fixed income factor risk management and factor-focused portfolio construction," said Ian Lumb, Qontigo's Managing Director and Head of Multi-Asset Solutions, EMEA and APAC.

Delta Data to Provide New Macro-Economic Revenue Forecasting IntelliCaster Tool Free to Asset Managers During COVID-19 Pandemic

Retrieved on: 
Tuesday, April 21, 2020
Valuation, NICSA, Asset management, Pricing, Financial models, Arbitrage

The tool allows users to input and track multiple economic models that provide a baseline for asset managers to forecast asset flows and their associated expenses based on a variety of critical factors.

Key Points: 
  • The tool allows users to input and track multiple economic models that provide a baseline for asset managers to forecast asset flows and their associated expenses based on a variety of critical factors.
  • Additional factors calculated against each model include sales forecasts by dealer, product and asset class, and dynamically calculated fee data.
  • The tool officially launched at the annual NICSA Strategic Leadership Forum and is already in use by a major investment management firm.
  • Delta Datas IntelliCaster tool provides asset managers with a platform to input multiple economists generated macro-economic based models.