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Quantitative Research Reports

Investment Management Research Reports

Price Targets – provides Forecasted Price Targets for the securities over the next 1-month, 3-months, and 12-month horizons. The price targets are based on our proprietary quantitative model. We also provide prices targets and future returns by sector, industry, and by index. The report targets portfolio managers (quants, fundamental managers, and indexers).

Frequency: Quarterly / Monthly

Earnings Forecasts - this is a quarterly/monthly report which provides earnings forecasts for all companies providing the company has been trading for six months to one year. We employ a quantitative model using market prices coupled with company specific balance sheet information to estimate future company earnings. The report is especially valuable (and interesting) as we move into earnings season and managers are concerned whether companies will make, exceed, or beat First Call earnings estimates.               

Frequency: Quarterly / Monthly

Weekly Hot List - Stock Performance Report – this report provides a Sector and Industry Analysis regarding securities that are under/over performing, and which are likely to exhibit a reversal in trend. This report is available for US and International securities. It is generated at the stock or security levels as well as by sector or industry. Depending on needs, the report is generated focusing on certain industries, and also provide information at the stock level where we identify which stocks have under-performed or over-performed and are likely to exhibit a reversal in trend.  This report is published as a summary screening analysis.

The Hot-List Weekly Report also includes our high frequency trading activity indicator or abnormal activities indicator. This report also provides insight into the price movement caused by high frequency traders and provides strategies surrounding how best to trade these names (either acquisition or liquidation).

Frequency: Weekly

Country Cost Analysis - this report provides insight into trading costs by country, as well as across Multi-Asset Classes. Regions covered include: US (LC & SC) Canada (LC & SC), Europe (Developed & Emerging), Asia (Developed & Emerging), Latin America, and Frontier Markets. This report is used by trading desks for trading cost analysis and by portfolio managers looking for insight into improving portfolio construction, optimization, and stock screening processes.

Frequency: Monthly / Weekly

Global Cost Curves – provide the expected trading cost for a various order sizes (%ADV) and trading strategy such as VWAP or a specified  percentage of volume (POV rate). The more passive the strategy the lower the trading cost and the more aggressive the strategy the higher the trading cost.

These cost curves are being used by portfolio managers, analysts and traders to construct portfolios, run optimization, evaluate trading performance, critique algorithms and algorithms, as well as for input into internal and proprietary trading models. Our Cost Curves are available across the global markets for Stocks, ETFs, Futures, and multi-asset classes.

Regions covered include: US (LC & SC) Canada (LC & SC), Europe (Developed & Emerging), Asia (Developed & Emerging), Latin America, and Frontier Markets.

Frequency: Daily / Weekly

Pairs Trading - This report will identify the most correlated stocks that trade as a pair (based on our cointegration model). We identify the most correlated securities by Sector and/or by Industry Group. The results are generated from our proprietary co-integration quant trading model. This report will identify two different groups: 1) securities that tend to trade in pairs and 2) securities pairs that have exhibited a potential mispricing (either too close or too far). This report is published as a summary screening analysis.

Frequency: Weekly

Index Fund Research Reports 

Index Trading Cost Estimate – provides expected price movement and trading cost estimate based on the change to the index (additions and deletions) and underlying total buying/selling pressure in the stock. For example, there will be incremental buying/selling pressure and price movement in the stock due to the change due to the underlying index and all replicating exchange traded funds. We also provide over/under trading quantities (pre-trading activity) prior to the index change which give an indication as to whether the stock price will increase or decrease on reconstitution day. The pre-trading activity is very interesting to managers for Russell Index rebalancing as well as for an indication as to trading via agency execution or principal bid. This report is provided as a summary stock screen analysis.   Frequency: on-going based on index change, May-June for Russell Reconstitution

Index Replacement Forecast – provides the stock that will most likely enter an index if there is a deletion to the index. This replacement stock is provided for each and every stock in the current index. It could also be the same replacement stock for numerous existing stocks in the index. For example, if there is a merger of two stocks in the SP500 index which stock will the S&P most likely select to be added to the index. These stocks are selected based on S&P methodology as well as the current risk composition of index and aggregated company specific balance sheet data. This provides index managers with a preview as to which stocks may be added to an index and also which stocks are at risk to be removed from an index (not due to merger or bankruptcy or other corporate action).

Frequency: Quarterly / Monthly

Trading Strategy Research Reports

Cost Index - this report provides research related to the trading cost structure of stocks across the global markets. Clients are provided with insight into what is driving costs (e.g., liquidity demand or information driven trading) across markets. This includes our Cost Index (historical costs from 1990 through present) by geographic region: US (LC & SC) Canada (LC & SC), Europe (Developed & Emerging), Asia (Developed & Emerging), Latin America, and Frontier Markets. This report includes: Forecasted Cost Curves, and detailed cost structure across regions for the upcoming quarter. This provides traders and portfolio managers with insight into making proper trading and investment decisions. This report can also be generated by Index and by Sector.

Frequency: Quarterly / Monthly

Volume Forecast - this report provides investors with forecasted stock volume across large cap and small cap stocks. The report is based on a statistical model and additionally includes forecasts by different scenarios: increasing/decreasing prices and increasing/decreasing volatility. The volume forecast report projects volumes for the calendar year and by quarter. This report is for the US markets and can also be generated by index and by sector.

Frequency: Monthly

Market Microstructure – Index Series: Insight into intraday trading patterns for stocks in various indexes and corresponding trading statistics. This includes: intraday volume profiles, spreads, and intraday volatility patterns. This provides traders with insight into developing best in class trading strategy as well as for algorithmic selection. This report is produced for US markets.

Frequency: Quarterly / Monthly

Volatility & Correlations - the report provides insight into current and forecasted market volatility. We provide research related to price volatility, market correlations, and dispersion. In addition, we evaluate foreign exchange risk and it effect on trading. We employ statistical analysis and quantitative modeling to infer risk relationships across various indexes.

Frequency: Monthly / Weekly

Global Liquidity Analysis - provides insight into changing liquidity patterns across the global markets. This report has more recently been incorporated into the country cost analysis but still has value as a stand-alone liquidity report for some clients. It can be generated by country as well as by global index: MSCI, FTSE, etc. Regions covered include: US (LC & SC) Canada (LC & SC), Europe (Developed & Emerging), Asia (Developed & Emerging), Latin America, and Frontier Markets.

Frequency: Monthly / Weekly

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