How much would alternative data have helped?
Here’s what we did:
1. Grabbed your quarterly long U.S. equity position from your 13F filings
2. Matched these positions to three ExtractAlpha model scores: Digital Revenue Signal (DRS), Tactical Model (TM1), and Cross Asset Model (CAM1).
3. Measured the performance of a quarterly portfolio of your holdings, versus a version where we screen out low-scoring stocks according to our models – and reallocate the capital to the other stocks.
EXAMPLE RESULTS:
The bottom line
Your 13 F Portfolio vs. Alt Data Enhanced Portfoliow (in $USD and %)
+1.3% (+$76MM avg per year)
Pick up +1.29% per annum by using DRS to avoid revenue shortfall risk
0.02% (-$40MM avg per year)
Lost 0.02% per annum by using TM1 for trade timing
-1.6% (-$82MM avg per year)
Lost 1.61% per annum by using CM1 to screen for options sentiment