QSG’s custom stock selection solutions are designed to help investment professionals
to construct, monitor, and manage portfolios with significant excess return potential.
We work with you to design solutions tailored to your unique benchmark, strategy
and objectives.
By leveraging the intuition of fundamental research with the rigor of systematic
techniques, QSG’s approach to stock selection enables your unique investment
ideas and philosophy to translate into a proven recipe for generating Alpha.
Stock Selection Solutions
US Stock Selection Models
QSG’s domestic models provide systematic views of the U.S. equity market based
on specific investment styles and documented market anomalies. QSG’s domestic
models measure firm characteristics such as valuation, quality, analyst sentiment,
price action and risk on a relative basis to remove the biases common in analyzing
companies. Models are available with a variety of targeted holding periods, turnover
rates and volatility levels.
International Stock Selection Models
At QSG, we understand that different factors drive stock returns across countries/regions.
This is why our international models are designed to capture country/region specific
market anomalies. QSG’s international models assess the attractiveness of
over 12,000 securities daily based on valuation, liquidity momentum, and earnings
quality.
Industry Specific Models
In addition to customized solutions, QSG is at the forefront of developing “best-of-breed”
specialty models. Targeted to specific benchmarks, sectors, industries and anomalies,
these models provide a foundation for our research and development. Current models
include the REIT Model, Retail Model and Bank & Thrift Model.
Custom Modeling
QSG understands that each investment manager has a distinctive style and perspective
on the market. For managers that desire a personalized solution to enhance their
unique investment process, QSG offers customized model development. QSG analysts
will work with the investment manager to determine the crucial current inputs to
the process and offer insights to bolster the power and stability of the final model.
All custom models are fully transparent to provide clients full knowledge of the
model recipe.
VRA Model Platform
Enhance your strategy by using QSG’s proprietary research website, Virtual Research
Analyst (VRA) and see the key drivers of a stock’s current forecast and historical
performance characteristics. Analyze individual names, highlight portfolios and
gain a competitive edge with the VRA which allows your firm the flexibility to view
and interpret your stock selection strategy in multiple ways which will help add
value to your unique stock-selection strategy.
US Stock Selection Models
Browse features by choosing from the tabs below
Deep Value
QSG’s Deep Value Model is a proven approach to selecting undervalued stocks across
the broad US market. The Deep Value Model is designed to select future out performers
over coming 9 to 12 months.
The Deep Value Model uses free-cash-flow, dividend yield, asset turnover, among
other ideas, to identify stocks that are currently trading at a deep discount to
their intrinsic value. The Deep Value model and provides discriminatory power for
both long-only and long-short strategies and is a perfect compliment to more shortterm
oriented momentum and growth strategies.
Relative Value
Several years ago QSG’s Equity Research Group surveyed 15 of the largest investment
managers, both fundamental and quantitative, to better understand what defined a
“relative value” strategy. The result was a robust model that included
themes of price multiples, profitability, earnings expectations, intrinsic value,
and financial strength.
QSG’s Relative Value Model reflects each of these themes in its composition.
The model is designed to avoid “value traps”, augment sector-relative
and industry-relative viewpoint, and, ultimately, provide a consistent source of
value.
Value Momentum
QSG’s Value Momentum Model proved a balance approach to stock selection within
the US market. The Value Momentum favors stocks with strong earnings quality, good
valuation, strong balance sheets, positive momentum, and good earnings growth, amongst
others.
The Value Momentum Model’s balances approach is perfect for investors looking
for broad exposure to a variety of proven stock selection and a “core”
approach portfolio construction. QSG’s Value Momentum models works across
all market capitalization ranges, investment styles and classifications.
Earnings Momentum
Stay on top of Wall Street sentiment with QSG’s Earnings Momentum Model. Built
using a proprietary search algorithm, QSG’s Earnings Momentum Model combines
analyst forecasts with the company’s past earnings strength and with several
indicators of future earnings potential.
Unlike other earnings revisions or “smart analyst” models, QSG’s
Earnings Momentum model has consistently out-performed in both pre- and post- Regulation
FD environments.
Price Momentum
QSG’s sophisticated Price Momentum Model goes beyond simplistic return seeking
to provide you with a powerful, yet consistent 1- to 3-month investment signal.
The unique Price Momentum Model leverages put and call option and trading volume
information to mitigate the inherent risk-seeking nature of momentum based strategies.
Historical Growth
QSG’s Historical Growth Model answers one, not-so-simple question: What Stocks are
Good Growth Stocks?
Using a unique k-clustering factor selection technique, QSG’s Historical Growth
Model selects stocks with an above-average track-record of earnings growth, strong
sales growth and high sustainable growth. This blended approach enable our Historical
Growth Model to not only identifies traditional growth stocks, but also value stocks
on the verge of growth.
GARP
Identifying growth stocks with strong “value” characteristics has never
been easy. Fortunately, QSG provides you with a systematic approach to finding the
elusive Growth-At-a-Reasonable Price (GARP).
Comprised of a proprietary combination of long-term earnings growth and relative
value signals, QSG’s GARP model utilizes first-order partial correlation to
create a blend of strong, sustainable earnings growth and current cheapness. This
model is ideal for strategies targeting stocks that demonstrate high long-term growth
potential and the sustainability to realize that potential.
Small Cap
For years practioners and researchers alike have documented the opportunities for
excess performance within the small cap arena. QSG’s Small Cap model provides
you with a proven approach to harnessing this potential.
Each factor within QSG’s Small Cap model was chosen for its individual and
orthogonal power within this universe. In addition, the model’s thematic organization
— momentum, quality, valuation and capital strength — enables you create
and implement tilted, long-only and long-short strategies.
International Stock Selection Models
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Deep Value
QSG’s suite of International Deep Value Models seeks cheapness across a variety
of international countries and regions.
Our Deep Value Models use traditional valuation factors such as free cash-flow, dividend
yield and earnings yield to identify stocks that are currently trading at deep discounts
to their intrinsic values. QSG’s Deep Value Models also include signals that
identify securities with improving or deteriorating earnings quality.
Countries / Region Covered:
- Developed Markets (Europe, Asia, Far-East)
- Europe
Relative Value
QSG’s suite of International Relative Value Models cover the themes of price
multiples, profitability, earnings expectations, intrinsic value, and financial
strength. The model is designed to avoid “value traps”, augment sector-relative
and industry-relative viewpoint, and, ultimately, provide a consistent source of
value.
Countries / Region Covered:
- Developed Markets (Europe, Asia, Far-East)
- Europe
Value Momentum
QSG’s suite of International Value Momentum Model provide a balanced approach
to stock selection. The Value Momentum favors stocks with strong earnings quality,
good valuation, strong balance sheets, positive momentum, and good earnings growth,
amongst others.
The International Value Momentum Models’ balanced approach are perfect for
investors looking for broad exposure to a variety of proven stock selection and
a “core” approach portfolio construction. QSG’s Value Momentum
models work across all market capitalization ranges, investment styles and classifications.
Countries / Region Covered:
- Developed Markets (Europe, Asia, Far-East)
- Europe
Earnings Momentum
All analysts are not created equal, but with QSG’s suite of International Earnings
Momentum models you can easily determine which company’s demonstrate high past earnings
strength and future earnings potential.
Countries / Region Covered:
- Developed Markets (Europe, Asia, Far-East)
- Europe
Price Momentum
QSG’s sophisticated suite of International Price Momentum Models go beyond simplistic
return seeking to provide you with a powerful, yet consistent 1- to 3-month investment
signal. Our unique International Price Momentum Models leverage industry relative
active return information to mitigate the inherent risk-seeking nature of momentum
based strategies.
Countries / Region Covered:
- Developed Markets (Europe, Asia, Far-East)
- Europe
Industry Specific Stock Selection Models
Browse features by choosing from the tabs below
REIT Model
For many quantitative investors, the REIT industry is a great unknown. The standard
models don’t work well and the industry is not easily comparable with others in
a crosssectional framework. Against this backdrop, QSG developed an industry-specific
model for the REIT industry based in part on detailed specialty data available from
SNL Financial.
The QSG Equity REIT model is a detailed model that values REITs from the bottom
up; data from over 45,000 individual properties are collected nightly and aggregated
at the REIT level to calculate proprietary valuation scores, evaluate the demographic
operating environments and measure the overall prospects for growth. The Equity
REIT model provides a powerful, stable signal ideal for longer-term investors.
Bank and Thrift Model
Banks and thrifts follow financial reporting rules that are significantly different
from the remainder of the investment universe due to the uniqueness of their operations.
Due to these differences, many quantitative factors that are widely used in the
overall investment universe are not feasible for use in the bank and thrift universe.
QSG has developed a model harnessing the unique features of the banking industry
financial statements via data provided by SNL Financial.
The QSG Bank and Thrift model provides unique insights into the industry by evaluating
items such as the overall quality of a bank’s loan portfolio. Additionally, QSG
established unique measures of earnings quality and balance sheet strength by measuring
the bank’s loan loss activities and gains or losses in the bank’s investment portfolio.
The Bank and Thrift model was developed with an optimal holding period of 6 to 12
months.
Retail Model
The QSG Retail Model assesses a retailer’s operating strength, same store
sales & earnings expectations, store growth efficiency, short sentiment, management
quality, price momentum and valuation & liquidity on a daily basis. The model currently
covers approximately 300 retailers within specialty, textile, apparel and luxury
goods, food & staples, internet & catalogue, multi-line retailers and restaurants
segments.
Historical backtests of the Retail Model indicate that the model would have outperformed
the equal-weighted retail universe by an annualized average of 14% from Jan 1979
to July 2006, ignoring transactions costs. The performance is even more impressive
from a long-short spread perspective with an annualized average spread of 30% during
the same period, not including transaction costs.
QSG’s Retail Model synthesizes industry specific data from a variety of specialty
data providers such as RetailMetrics (actual same store sales and analysts’
estimates of same store sales) and Chain Store Guide (store location attractiveness,
openings, closings and overall growth) to analyze the unique components of a retailer’s
excess return generating capabilities.
Insurance Model
The development of the Insurance Model reinforces QSG’s ideology of leveraging
specialty datasets to develop customized stock selection models across sectors and
industries. The Insurance Model is the fourth industry specific model in QSG’s
suite of customized industry specific models, developed to address the demands of
the investment managers who have traditionally encountered difficulties in analyzing
the financial information of companies. The financial statements of insurance companies
are loaded with technical jargons and idiosyncrasies, which has been a major obstacle
in fundamental equity analysis.
QSG’s Insurance Model is designed to model the inherent differences in the
presentation of accounting information between insurance companies and other financial
services entities. The model provides a robust platform to help clients enhance
their stock selection processes by allowing end users to compare the relative performance
of insurance companies on a consistent valuation framework designed to identify
stocks with significant alpha generating potential.
Custom Modeling
Phase I
QSG’s experienced analyst staff works with you to understand your unique perspective
and investment decision-making process. By working together, we create a strategy
that reflects and validates your unique insights.
Phase II
In this phase, QSG’s experienced research staff executes robust tests aimed at finding
the optimal combination of each idea within your strategy.
Phase III
From the theoretical underpinnings of your model and its performance history to
the individual data items utilized in every indicator, a confidential Investment
Recipe serves as your reference for every part of the strategy.
Phase IV
Daily updates are automatically posted early each morning, hours before the markets
open, so that Analysts and Portfolio Managers have the ability to react to the latest
information. FTP and email delivery options are also available.
Phase V
QSG’s equity research analysts continually monitor the performance of your strategy.
Analysts are available to answer questions, consult on best practices and assist
in small-scale research projects. The analyst staff is an essential part of QSG’s
consulting business.