We offer such quantitative advisory services for Equity Portfolio management as "enhanced indexing", "130⁄30 strategy", which allows partial short-selling, "equity market neutral investment" and "pairs trading investment", which are intended to provide stable profits irrespective of the overall market movement, "low volatility equity strategy" aiming average return of market constituents at as low risk level as possible. In order to enhance our quantitative capabilities in selecting individual stocks, we conduct an advanced research on an on-going basis, and our research encompasses Robust Ranking Estimation of individual stocks by taking advantage of behavioral finance theory and an Optimal Portfolio Construction subject to liquidity constraints or a sudden jump in cross-correlation between stocks.
Enhanced Indexing attempts to outperform the return of the index while controlling its active risk range of 0.5-2.0% per annum.
Active Return-Active Risk coordinates in active portfolio management
In 130/30 strategy, the portfolio is made up of 130% long and 30% short position. This brings you the increase of investment opportunities, which leads to both higher investment efficiency and higher active return
Conceptual diagrams of 130/30 strategy
Low Volatility Equity strategy aims to achieve average return of market constituents at as low risk level as possible while controlling liquidity and fundamental risk. This strategy is expected to have limited downside risk compared to market cap weighted indices in a sharp market downturn.
A comparison of 1-Year Maximum Drawdown(MDD)*
between TOPIX and Low Volatility Equity strategy
We can offer various custom indices such as Low Volatility Equity Portfolio, GDP weighted indices and so on.
