Nomura’s September Quant research report looks at three separate themes in the quant space. Alternative beta is a popular term and used generally with single strategies – Nomura investigates the possibilities of constructing a viable portfolio out of different alternative beta strategies. The second theme revolves around emerging market portfolios and whether value can be introduced therein using currency-based momentum strategies. The third theme addresses the simultaneous use of both an earnings momentum strategy as well as a contrarian strategy depending upon changes in stocks’ earnings trends. Quant alternative beta strategies Indigo Fraser Jenkins, Global Head, Quantitative Strategy (Equities) and…
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