The following upgrades are being released this week:
- Stock alpha forecast: new model version, some jumps in scores to be expected despite the high correlation between the current and the new version
- Stock snapshots: new signal timeline tab, which displays a stock’s evolving flag, alert and research candidate status and is based on an improved code that increases signal timeliness and persistence
- Portfolio upload: ability to load an entire trading history, hence removing the need to manually update your portfolio to keep it up to date if you are not using our API
- Portfolio assessment: possibility to assess absolute exposures on top of the current (benchmark-relative) ones
User Interface upgrades:
- Charts now automatically rebase when zooming on a given period
- New switch to visualise the fundamental scores of the stocks in the watchlist
- Research notes available directly from the app
Stock alpha forecast
The stock alpha forecast engine detailed in previous notes (see How “nowcasting” the global macro improves stock alpha “forecasting” and Under the hood of butterwire’s stock engine) is getting an upgrade after the addition of a new “memory” from 2018 proved useful in enhancing win rates and excess return distributions, for both 2019 and prior years. The two versions are quite similar (R2 of 0.6 across 5,376 stocks), but some stocks will see their fundamental score jump a bit: while across the whole stock universe the score of 70% of them changes by less than 2 units, 15% will change by 3 or more units (see examples below from the EU large cap universe).
We’ve added a third tab to each stock snapshot that captures the daily evolution of key stock signals in 4 charts showing the share price in relation to changes in:
- Flag (red, amber, or green)
- Alert (exit?, or take profit?, or check thesis!)
- Residual return indicator (i.e. the “performance surprise index” that ranges from -4 for the lowest 10% of stock returns in the region, to +4 for the best 10%)
- Candidate status (interesting long, high octane long, or potential short)
These charts provide the day-to-day granularity of key signals that so far were only available for the current day and historical end of month days (see example in the screenshot below).
We’ve also improved the code that determines flags, alerts and candidate status in a way that delivers more timely and persistent signals, thereby avoiding situations (like we have been observing since last Spring after we switched from a weekly to a daily refresh cycle) when a stock alert goes off one day only to be back on the next.
This new feature makes it possible to upload the trading history of a portfolio (from Jan-2017), as opposed to point in time positions that must then be manually edited to keep in sync with the actual portfolio. Simply add a new “date” column to the usual csv template and copy the list and timing of all the changes in holding positions as illustrated below.
A new toggle now appears at the top right of the portfolio assessment page that allows to switch views between the standard (benchmark-relative) representation of portfolio exposures and an absolute (benchmark-less) one.
For benchmark-sensitive portfolios, the “bench-less” view is a mere complement to the standard one, as it visualises the absolute number of holdings equivalent per sub-category. For benchmark agnostic and/or market-neutral portfolios, it however becomes the go-to view since the standard one carries little visually useful information (see long/short portfolio example below: relative view on the left vs. abolute view on the right).
Miscellaneous UI upgrades
Charts now automatically rebase when zooming on a given period (e.g. candidates indices, portfolio P&L), for example:
New switch to visualise the fundamental scores of the stocks in the watchlist:
Research notes available directly from the app (see “Research” option in the left-hand menu):