Systematic Management Solution

• Equity fund management can prove to be more challenging in the future.
• Investing in indices and passive products may produce mediocre returns.
• Active management is the solution to profit from performance dispersion.
• A systematic approach provides a disciplined, robust solution for active managers.

Trendrating Example Strategy

Strategy: Trendrating EURO 30 – 2

Benchmark: EURO STOXX 600

Current Holdings: 30 Large Cap Stocks

Rebalance: Monthly

Markets: France, Germany, Italy, Spain

Currency: EUR

Data as of: 01/12/2020  

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Trendrating Systematic Management Solution

The management of equity portfolios can be performed on a discretionary basis, a systematic basis or a combination of both approaches. Systematic portfolio management is gaining traction as it often provides better returns, lower deviation from an expected outcome, improved discipline and control, full transparency and consistency of the rules governing investment decisions and at the same time drive down operational costs.

Systematic management can easily fit into most investment strategies (value, growth or contrarian) as the starting point is the universe of stocks that satisfy the defined qualitative or quantitative criteria. The systematic approach can then be used to decide the selection and timing of investments to maximize the alpha.

The underlying models are usually tested across years of history to validate the added value they can generate across different market cycles (bull trends, bear trends, ranging phases, high and low volatility) and across a large number of securities. After the testing phase, a real-life validation is required to confirm the quality of the models.

• A systematic approach seems to be more in tune with the increased complexity of trends in individual stocks that are impacted by a variety of factors such as big money flow, sentiment, social media, which can overwhelm fundamentals.
• A systematic methodology can avoid some of the usual pitfalls of human judgement and behaviour (the disposition effect, biases, attachment, tendency to forecast) and rather operate following the golden rule of investing – let your profits run and cut the losses.
• A well tested model offers less deviations from expected outcomes under different market scenarios.
• A model can save time and money.
• A systematic approach can offer the opportunity to launch new investment lines and products, or can be used as an overly to the existing strategies.

However, the performance of a systematic strategy over time is only as good as the models used.

Already using systematic?

Contact us to see if our solution can add extra value to your existing market neutral strategies. We will be happy to test for you following your investment guidelines and constraints.

New to systematic?

Contact us to learn how you also can benefits from a systematic approach. We will be happy to provide you some tailored strategies examples.

Trendrating provides a well proven solution to investors interested in systematic management of equity portfolios.

Best practice suggests using models that have been extensively tested across at least 6 different market cycles and on different equity markets and a large statistical sample of securities.

The Trendrating Trend Capture Model ticks all the key boxes of robustness:

• Tested in sample on 20 years of daily data (c.1988-2008) for over 15,000 listed securities on 10 markets.
• Validated out of sample on 5 years of data (c.2009-2014)
• The underlying “trend capture” model has been used by our 100+ customers since 2014.
• Built on a sophisticated pattern recognition algorithm with transparent rules.
• Uses self-adjusting time windows for more accurate results.
• Generates an easy to use rating methodology where A and B rated stocks tend to outperform the benchmark and those rated C and D underperform.

The Trendrating Systematic Management System solution:

MODEL + TESTING AND MANAGEMENT PLATFORM = TRENDRATING UNIQUE SOLUTION

1. Our proprietary, sophisticated model generates alpha via trend capture.

2. The software is based on a high-performance engine to leverage the model via building, testing, optimizing and managing an investment strategy.

Do not waste time.

Contact us and quickly see if our systematic management solution can deliver more value to your business.

The testing and evaluation is free.