Report

Systematic Ideas - December Long Only - 7 Dec

Live December Long-only Names

The ideas listed in the table in Fig.1 show a selection of stocks that are currently timed well for entry. This subset is taken from our 4 Flagship Long-Only Books (or Market Neutral if you hedge with the relevant BWORLD Index). Each Book (US, EU, Global* and GEMs) was launched at the start of April this year and rebalanced at the start of each month and are driven by our three main models: Factor, Sector and a “Fund-of-Funds” or “Beauty Contest” approach. The methodology for the latter is described at the back of this Systematic Ideas note. 

The common feature of all our models is a forward looking approach to risk. We define risk as the probability of an above-tolerance drawdown. This is in contrast to industry norms (risk being deemed to be volatility (or standard deviation) which we feel are ex-post manifestations of risk and not ‘true risk’ in a Peter Bernstein perspective (the author of ‘Against the Gods’: The Remarkable Story of Risk) .

(NB the Global book has only 5 names)

 

Provider
Deydun
Deydun

Deydun Markets

 Deydun Markets, founded in 2010 and based in London, is a specialist quantamental research boutique. The client base includes institutional equity investors across the spectrum audience primarily from fundamentally driven long term investors to long / short high turnover hedge funds. Deydun covers all global markets through a macro lens as well as bottom up stock picking with the major overlay being the proprietary quantitative models that we have built over the years. The models are rebalanced to suit clients specific needs including quarterly, semi-annual and up to annual rebalance.

 Deydun specialises in providing real-time securities recommendations including providing market timing advice and actionable short-only strategies. They use robust quantitative approaches to help isolate alpha for their clients. The systematic models attempt to be:

 Right at the right time

  • Avoid drawdowns
  • Maximise diversification

 The differentiated suite of empirical models that Deydun has developed adapt dynamically to mean reversion and momentum states.

 The Deydun service is delivered through notes, “Key Thoughts”, that highlight new stock ideas and track the real-time performance of all the Live Book as well as those in the (unique) Flip Book when they have changed the side of the recommendation. These prove outstanding records of divining alpha in very liquid global equities. The models typically achieve 15% to 35% CAGRs in blind forward and real time proofing over one to two business cycles.

 Deydun endeavours to provide each client with independent and relevant ideas and transparently track all their calls. Tier one clients receive a bespoke portfolio service and often share their positions to enhance the impact of the Deydun service.

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