Reduces a portfolio’s risk and volatility while preserving return of the core holdings.
Multi-Expert Long w/ Short Hedge
About the dataset
Exclusively available through Analytics Hub, Multi-Expert Long with a Short Only Hedge can reduce a portfolio’s risk and volatility while preserving returns of the core holdings.
It uses a proprietary pattern matching algorithm unique to Analytics Hub to discover and recommend securities, and their allocations to accomplish this goal. It recommends appropriate stocks, in this case, highly liquid ETFs as hedges. Because it uses a unique approach to hedge discovery, Analytics Hub can find short-only, long-only, or long/short hedges. The Hedge can also be adjusted to accommodate a firm’s alternative risk preferences.
More about the Data:
MEL (Multi-Expert Long derived factors) Hedge is a Cash Neutral (equally allocated) portfolio consisting of long stock positions (MEL) and short ETF positions (Hedge)
MEL uses the Russell 2000 universe and the Hedge uses a variable subset of the 50 most liquid US ETFs
The signal (0 to +1 and 0 to -1) is daily and derived from various holding periods with a 3 year out-of-sample period
A Nasdaq Score is added along with a backtest that highlights the higher risk-adjusted daily returns and lower drawdown as compared to similar benchmarks.
Back-tested results demonstrate signals from the Hub outperformed their benchmarks over multi-year periods: