Holistic Stock Selection Models

The price development on stock markets is determined by the interaction of different investment philosophies and valuation models

Some investors rely on the classic analysis of fundamental key figures in order to put together a usually concentrated portfolio of "attractive" stocks from different sectors and hold it for some time. Other investors believe in temporary over- and under valuations and trade stocks with rather short-term horizons based on company reports and news. Many investors rely on the well-known style premiums such as Value, Growth, Quality and Size to actively manage their portfolios in a rule-based and disciplined manner. And finally, there are momentum investors who are primarily concerned with the price histories of stocks and draw conclusions about behavioral anomalies.

The different selection models are subject to individual convictions from professional practice and scientific findings, especially from empirical financial market research. As a rule, the typical quantitative or qualitative investment process is dominated by one of these procedural models, so that all the models mentioned are incorporated into the development of market prices.

The methods of machine learning enable us to analyze the price formation on stock markets holistically on the basis of large, heterogeneous data sets

The equity portfolios we actively manage reflect the substrate of the dynamic competition between the various "valuation schools" in the economic cycle. This means that the recurring style rotations, shifts in investor preferences caused by economic or sentimentary factors, as well as momentum or reversal effects can be captured simultaneously. Our investment process is geared towards the systematic harvesting of macroeconomic risk premiums as well as style premiums and temporary opportunities in individual equity securities or segments due to behavioural effects.