A-H returns & unwinding of mispricing anomalies
Recently we’ve been monitoring the correlation between the daily performance of the Hang Seng Stock Connect China AH Premium (HSAHP)...
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Nick Bird
- Jul 2
Investor sentiment & AI as a risk factor
“In the short run, the market is a voting machine but in the long run, it is a weighing machine.” This is a quote from Warren Buffett in...
Nick Bird
- Apr 24
Quant factor investing in Japan: opportunities and challenges
In this research note, we examine the opportunities and challenges associated with implementing a quant factor process in Japan. The...
Nick Bird
- Mar 23
Asian stock market idiosyncrasies
Successfully investing in Asian equities requires specialist regional expertise. Each market has its own unique characteristics which...
Nick Bird
- Mar 5
Lessons from China Quant Quake
Recently there has been considerable press coverage on the severe underperformance of numerous China quant funds. On 22nd February...
Nick Bird
- Feb 1
Attractive mispricing opportunities in China
There are numerous equity market dislocations across the broad spectrum of Chinese securities. They are the result of extreme liquidity...
Nick Bird
- Jan 4
Crowding risks
The consequences of crowding are ever-present. Normally it’s restricted to inhibiting alpha generation, particularly for fund managers...
Nick Bird
- Dec 25, 2023
Distinguishing between signal and noise
Garbage in, garbage out Consider two different quantitative investment strategies: stat arb and multi-factor quant. A stat arb strategy...
Nick Bird
- Sep 28, 2023
Taking a holistic approach to analysing net China exposure
We take a holistic approach to analysing the fund’s China exposure and opportunistically shift net China exposure between ‘A’ and ‘H’...
Nick Bird
- Jul 28, 2023
Positioning our portfolio so that it’s optimised for the market environment
The most distinctive feature of our investment process is our non-systematic overlay. Previously we’ve documented how we manually review...
Nick Bird
- Jun 28, 2023
Why we execute a large number of daily trades
The following chart shows the 30-day moving average of the number of daily trades since the fund was launched. Chart 1: 30 day moving...
Nick Bird
- Jun 5, 2023
Why we're Asian specialists
The first point to emphasise is we will always be Asian specialists. Previously – before setting up OQ – we diversified outside of Asia....
Nick Bird
- May 2, 2023
Analysing risk: horses for courses
Understanding the challenge We’ll start with an irrefutable fact: fund return volatility is required to generate decent performance....
Nick Bird
- Mar 1, 2023
Our favourite finance quotes (and how they relate to our investment process)
“Hedge funds fail when rock stars are in charge” Matthew Lyn, Bloomberg, 2010 This is the subject line for a Bloomberg news story I read...
Nick Bird
- Jan 10, 2023
The potential pitfalls of focusing on idiosyncratic risk
Increasingly, investors are placing a lot of emphasis on idiosyncratic or stock specific risk. Depending on how this risk is calculated,...
Nick Bird
- Jan 3, 2023
BOJ policy change and the end of zero-Covid
December was an interesting month in Asia for two key reasons: 1. The BOJ’s yield curve control policy change on December 20, allowing...
Nick Bird
- Aug 25, 2022
Univariate vs multivariate regression analysis
Some investors have recently asked us about different factor performance measures, particularly the difference between rank ICs and pure...
Nick Bird
- Jun 23, 2022
Our discretionary overlay
Our discretionary overlay is the most distinctive feature of our multi-factor quant investment process. It is also the most difficult to...
Nick Bird
- May 10, 2022
Rising rates and stock valuations
Overview In this market insight we analyse: The impact a 1.5% increase in the discount rate has on the valuation of a value stock and a...
Nick Bird
- Apr 3, 2022
Chinese delisting, geopolitical, regulatory, and other “investability” issues
Investors have a diverse range of opinions on these issues. Take two well-known investors with several decades of experience: George...
Nick Bird
- Mar 3, 2022
Positive return skews
The following shows the daily gross return histogram from the strategy since it was launched in June 2020. Chart 1: Daily Strategy...
Nick Bird
- Oct 22, 2021
Extreme value spreads in Asia
In any market, at any point in time, there are cheap and expensive stocks. Valuation differences exist due to varying company growth...
Nick Bird
- Oct 6, 2021
“Clean” momentum: better autocorrelation momentum factors
In broad terms, there are two types of momentum factors: mean reversion and auto-correlation. Mean reversion momentum factors are...
Nick Bird
- Sep 27, 2021
Evergrande’s impact on the fund
Not long after the Fund was launched, we initiated a short position in Evergrande. This was done via our risk screening to offset a net...
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