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RiskPremia SmartEarnings 20052016
RiskPremia SmartEarnings 20052016
27/05/2016
2015
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
YTD
1wk before
Earnings Overreaction - a
mood signal?*
NDX
7.20%
0.27%
-0.16%
1.46%
-0.22%
1.94%
3.32%
92.90%
86.60%
Source: Uncia AM
CCMP
-1.17%
0.14%
-0.06%
-2.31%
-0.12%
0.03%
-2.32%
58.61%
67.30%
Contact:
11.89%
33.08%
julien.messias@uncia-am.com
SXXP
6.20%
-0.33%
0.77%
-1.97%
-0.14%
0.29%
-1.40%
CCMP + NDX
2.87%
0.20%
-0.04%
-0.51%
-0.38%
0.91%
0.19%
27/05/2016
2015
Jan
Feb
Mar
Apr
May
NDX
9.55%
1.04%
-0.78%
-0.02%
-0.06%
1.97%
2.14%
CCMP
2.09%
-0.15%
0.03%
-3.49%
0.07%
0.10%
-3.44%
SXXP
5.28%
0.43%
-0.52%
-2.26%
-0.11%
-0.01%
-2.46%
CCMP + NDX
4.47%
-0.21%
-0.27%
-1.46%
-0.17%
0.90%
-1.22%
Jul
Aug
Sep
Oct
Nov
YTD
HFR Benchmarks YTD
HFRXEMN au 20/05/2016
-3.44%
HFRIEHI au 30/04/2016
-0.81%
Strategies face 1% (yr) mgmt fees + 10 bps per trade (except CCMP+NDX 5bps). NDX and SPX short positions are charged 1% (yr), RTY, CCMP and SXXP 2% (yr). The CCMP+NDX is UCITS compliant.
The PEAD methodology focuses on the overreaction of the investors on the earnings releases.
In the extremes of the range of the net exposure (5% / 95% percentile), earnings overreactions are likely to be predictive:
-> if investors overreaction focuses more on positive earnings than on negative, it entails a positive net exposure.
-> if investors overreaction focuses more on negative earnings than on positive, it entails a negative net exposure.
Data are retrieved since 2003, January, 3rd.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2612459
* Should you need more information about the methodology, or to discuss the acamedic paper, contact the author
01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016
16%
14%
12%
10%
8%
6%
4%
2%
0%
-2%
-4%
-6%
-8%
16%
14%
12%
10%
8%
6%
4%
2%
0%
-2%
-4%
-6%
-8%
01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016
NonMarketNeutral
MarketNeutral
MarketNeutral
16%
14%
12%
10%
8%
6%
4%
2%
0%
-2%
-4%
-6%
-8%
01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016
-20%
-10%
-20%
-30%
-40%
01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016
-10%
01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016
NonMarketNeutral
NonMarketNeutral
MarketNeutral
40%
40%
30%
30%
20%
20%
10%
10%
0%
0%
MarketNeutral
40%
30%
20%
10%
0%
-10%
-20%
-30%
-30%
-40%
-40%
01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016
Net Exposures per Index - Non Market Neutral & Market Neutral
Net exposure: CCMP
NonMarketNeutral
MarketNeutral
Weekly compilation of buy and sell signal since Jan, 03rd 2003
* If we have 3 buy signals and 1 sell signal during a week, then the overall weekly signal will be +2.
10
8
NDX
10
8
-2
-2
-4
-4
-6
-6
-8
-8
-10
-10
10
5
0
-5
-10
-15
SXXP
CCMP
NDX
10
SXXP
-2
0
-4
-6
-10
-8
10
8
6
6
4
4
2
2
0
0
-2
-2
-4
-4
-6
-6
-8
-8
-10
-10
01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
10
01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
Non Mkt-Neutral
NDX
Perf.
Vol.
RTY
Perf.
Vol.
CCMP
Perf.
Vol.
SPX
Perf.
Vol.
CCMP+NDX
Perf.
Vol.
SXXP
Perf.
Vol.
Mkt-Neutral
NDX
Perf.
Vol.
RTY
Perf.
Vol.
CCMP
Perf.
Vol.
SPX
Perf.
Vol.
CCMP+NDX
Perf.
Vol.
SXXP
Perf.
Vol.
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2003-2015
1.2%
1.9%
-0.6%
1.4%
1.5%
1.4%
-2.6%
2.9%
1.8%
1.2%
1.4%
3.8%
-0.2%
2.1%
9.0%
3.0%
0.4%
5.3%
5.3%
2.6%
7.0%
4.1%
4.1%
3.3%
5.5%
3.2%
4.9%
5.7%
5.9%
2.9%
3.5%
1.0%
10.5%
4.3%
1.2%
6.5%
10.8%
5.1%
5.7%
6.7%
10.4%
3.4%
5.4%
2.7%
9.5%
4.4%
9.5%
5.8%
12.9%
6.0%
-0.1%
4.3%
10.9%
4.1%
4.3%
3.7%
16.5%
8.8%
1.4%
5.7%
1.9%
6.9%
6.9%
6.2%
8.3%
6.2%
2.5%
4.0%
0.5%
2.9%
-0.5%
1.8%
0.8%
2.4%
-6.3%
5.6%
0.9%
2.1%
-0.3%
3.7%
-0.7%
2.7%
-0.1%
3.4%
5.4%
3.0%
2.2%
3.4%
2.5%
2.4%
3.1%
3.4%
11.5%
4.3%
9.1%
5.4%
11.0%
4.8%
2.6%
3.6%
10.5%
3.7%
12.2%
8.8%
9.6%
3.9%
-1.4%
3.7%
-2.0%
4.0%
5.0%
3.8%
3.4%
2.7%
1.2%
2.0%
2.7%
3.3%
2.8%
5.0%
5.2%
6.2%
-0.5%
2.7%
4.4%
3.6%
9.9%
4.3%
-0.3%
3.8%
-2.1%
6.1%
-6.3%
5.6%
0.6%
2.7%
-2.6%
3.8%
3.8%
3.1%
7.2%
6.4%
0.5%
7.3%
-1.2%
6.1%
14.9%
6.2%
2.9%
5.0%
6.2%
3.5%
5.8%
4.5%
1.8%
4.8%
4.0%
4.7%
2.5%
4.8%
4.9%
3.6%
4.7%
4.1%
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2003-2015
1.0%
1.7%
0.3%
1.0%
2.3%
1.6%
-2.4%
2.6%
1.8%
1.2%
3.5%
2.4%
1.4%
1.7%
8.7%
2.8%
1.8%
3.9%
6.3%
2.2%
7.8%
3.8%
5.1%
3.1%
6.5%
3.0%
5.6%
4.4%
7.1%
2.8%
4.0%
1.1%
8.1%
4.0%
3.0%
4.5%
9.0%
4.6%
6.8%
5.7%
8.4%
3.2%
2.9%
2.1%
10.4%
4.2%
10.1%
5.5%
14.6%
5.6%
0.4%
3.7%
11.9%
3.8%
3.3%
3.5%
6.9%
5.7%
-0.4%
4.6%
-5.1%
4.9%
2.7%
4.5%
1.7%
4.0%
-1.2%
3.0%
2.1%
3.0%
1.5%
1.4%
3.0%
2.4%
-1.7%
4.6%
2.5%
2.1%
1.1%
2.1%
1.5%
2.4%
-0.8%
3.2%
5.4%
3.1%
4.0%
3.3%
2.5%
2.3%
4.3%
2.4%
10.9%
3.5%
8.1%
4.5%
11.6%
4.3%
2.3%
2.9%
10.2%
3.3%
4.7%
5.7%
6.1%
3.8%
-0.7%
3.1%
-2.8%
4.0%
3.1%
3.4%
1.6%
2.8%
1.3%
1.8%
2.7%
3.2%
-0.6%
4.8%
-0.3%
4.8%
1.7%
2.7%
2.0%
3.2%
8.7%
3.7%
1.5%
3.6%
-1.7%
5.3%
-6.4%
5.2%
1.8%
2.7%
-2.0%
3.5%
4.3%
3.1%
9.5%
5.1%
-1.4%
6.6%
2.1%
4.8%
13.2%
5.4%
4.5%
4.2%
5.3%
3.0%
5.5%
3.7%
1.8%
4.2%
3.5%
4.1%
3.0%
4.0%
4.4%
3.1%
3.5%
3.1%
These performances have to be perceived as very defensive compared to real market conditions, as the real holding period should be longer than the one used in the simulation. For more explanations, contact
Strategies face 1% (yr) mgmt fees + 10 bps per trade (except CCMP+NDX 5bps). NDX and SPX short positions are charged 1% (yr), RTY, CCMP and SXXP 2% (yr). The CCMP+NDX is UCITS compliant.
julien.messias@uncia-am.com
Sharpe
1.27
0.37
0.85
0.52
1.36
1.13
Sharpe
1.47
0.42
0.86
0.75
1.43
1.12