Thursday, February 15, 2024

Alpha, Beta, Alpha-Beta

Efforting differentiated Alpha on top of Beta compression is advanced by peer group analytics and valuation, two fundamental tenets of the research process useful in capturing ranged performance dispersion among component members within designated benchmarks (cross-asset, multi-factor).

<U/O> Matrix via Applied Indexation utilizes the modularity of corporate business segment operations to improve peer group analytics and valuation, refining standard index sector/industry/subindustry nomenclature assignments to better express relationships among variables and generate effective Tier-2: Alpha and Alpha-Beta screens for relative value assessments (strategies: conventional, index-plus, thematic, megatrend, long/short).

Current thematic is in the Clean Energy ETF space (ticker PBW: 12-mo. performance dispersion +166.0%/-89.0% 021424) as proxy for institutional portfolio managers, derived initially from a conceptual combined Renewables/Diversified Industrials/Technology sector-themed overlay; methodology is adaptive across economic sectors and asset classes (equity, corporate credit).

Resultant data sets are presented on a relative portfolio- versus market capitalization-weighted basis, providing multivariate performance attribution and capacity to isolate valuation drivers at distinct points of inflection (ref. past-positive forward looking indicators).

For proprietary methodology, note recent publications posted unrestricted online: <U/O> Tutorial_5: Performance Dispersion (Meta) and Data Refinement: Business Segment Operations (BSOs) along with slideshow tutorial <U/O> Matrix - Establishing Predictive Value: Applied Indexation, Hierarchical Data Sets and Competitive Market Information.

Please message direct with any questions or for product development considerations; on a standalone basis, spreadsheet downloads are available for research libraries at b-platform Access tab (auto-generated password; PayPal hosted).

#EnergyComplex #CleanEnergy #Renewables #Strategy #PortfolioManagement #PortfolioStrategies #CorporateFinance #BSOs #Analytics

At Venn’s intersection, sets and subsets of competing interests endure. The dynamic principles of BSOs are three-fold: 1) multinational and Large-cap companies function as benchmark sector/industry/subindustry proxies based on scale (Alpha-Beta), 2) Small- and Mid-cap companies participate as competitive peers (Alpha) and, hence, acquisition candidates and 3) among subsets of 1) and 2) are companies provisioning multiple economic sectors, asset classes and geographies. Successful trading strategies (conventional, systematic, factor-based) and adaptive investable motifs (niche, thematic, megatrend) isolate Value in Growth, and Growth in Value, by aligning the prospective Alpha drivers directly associated with ecosystem composition and supply chain verticals.

Forward looking statements, estimates and certain information contained herein are based upon proprietary and non-proprietary research and other sources. Information contained herein has been obtained from sources believed to be reliable but are not assured as to accuracy. Past performance is not indicative of future results. There is neither representation nor warranty as to the current accuracy of, nor liability for, decisions based on such information. This content is distributed for informational purposes only and should not be considered as investing advice or a recommendation of any particular security, strategy or investment product. The author's opinions are subject to change without notice. No part of this product, related articles, publications or web-based content may be reproduced in any form or referred to in any other publication without express written permission of Universal Orbit © 2024 and David B. Kleinberg.

No comments:

Post a Comment