Every month our automated system produces a list of stocks that we package in a long and long/short portfolio for investors to follow.
The model is set up as follows:
Name: QMG Best Ideas
Type: Long / Short
Securities traded: Equities with exposure to QMG’s US sector data – these are US listed as well as global equities
- QMG uses correlation to find stocks that show a strong relationship to our sector data
- We use our QMG score for a sector/product group and compare that with the year-on-year share price growth of US exposed equities.
- QMG score has to be over 40% to be considered good correlation
- QMG score has to be above +16 or below -10 to trigger a BUY or SELL
Trading period: This model trades the equities that the system chooses on the day that new country data is processed in QMG’s econometric model. In the USA we get data for January 2015 on the 22nd of February so the trade goes from 22/2/15 to 22/3/15 when new data will be processed for March and so on.
The results of doing this type of automated model portfolio, without portfolio construction, yields the following result – returns since 1/1/2011 are equal to +149% cumulative.
If we tweak the correlation to pick only equities that display a greater than 80% correlation to our data then the cumulative return jumps up to +225%
We run similar models for the following regions:
- United States
- United Kingdom
Subscribers can access the full model to see which stocks were selected historically and what our current best ideas are.