DIFFERENTIATED PERSPECTIVE
“When it’s raining gold, reach for a bucket, not a thimble.”
- Warren Buffett
QUANTAMENTAL EVENT STRATEGY
Captures Price Changes Around Corporate Events.
Corporate events present opportunities to capitalize on market reactions to company releases of new information. We built an algorithm that systematically predicts how stock prices will change across thousands of events per year. Short holding periods around events mean this highly liquid strategy tends to be uncorrelated to markets.
Alpha Generation. Our multi-factor algorithm seeks to profit from outsized volatility around material corporate events with a primary focus on earnings announcements. The purely systematic, non-discretionary process hunts through 10,000 predictable recurring events annually and executes long and short trades that meet its criteria.
Systematic Process. Stock selection centers on expectations gaps. The algorithm systematically selects stocks based on its bottom-up multi-factor methodology and probability-weights outcomes to determine optimal position sizes. Higher scores drive larger positions. It trades when expectations materially diverge from those of markets to find asymmetric risk/reward.
Opportunistic Approach. The algorithm focuses on outliers and only deploys capital when expected returns justify risk. Trade durations are typically less than one week so gross exposure expands and contracts rapidly around events.
Portfolio Construction and Risk Management. The algorithm focuses on compelling risk/reward profiles. If expected returns do not exceed thresholds, it holds cash. It systematically exits these short duration trades once events occur, regardless of the outcome. This approach results in disciplined capital allocation, position sizing, and risk management.