QES Investable Strategies

Since Yin Luo and the QES team joined Wolfe Research in 2016, they have published over 100 papers (totally >4,000 pages), with 30+ live models. One the most common questions from clients is whether our models still deliver alpha once trading costs and other institutional constrains (e.g., turnover) are accounted for. To demonstrate the realistic alpha of our strategies, we introduced the investable versions of our sophisticated quantitative models. We take some of our high conviction models (e.g., MALTA, SHIELD), and overlay them with our proprietary risk models and portfolio construction tools to show the performance of investable products.

We track the performance of each investable strategy on a daily basis and performance is reported every month. Offering these products allows investors to gain exposure to top-quality quantitative strategies without needing to incur the massive expense of building out a full data infrastructure. Our strategies span a broad range of themes, from machine learning, alpha in an inflationary environment, and models designed to outperform during large market drawdowns. We offer investable products across every investment thesis and horizon.

Investable Strategies

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Name Description Universe History
Alpha Seeking (MALTA) A systematic multi-factor model that selects the features and characteristics of companies that are most predictive of future stock performance. Global November 2018
Defensive (SHIELD) Designed to hedge against market meltdowns yet remain resilient in an up market by adjusting for key factor risk. Global December 2018
Emerging Markets (GEMMA) A machine learning model that is customized for emerging markets. EM November 2020
Inflation Alpha (RISE) Designed to hedge against inflation yet remain resilient in deflation by adjusting for key factor risk. Global November 2021
Stat Arb (StarPerformer) A global stock selection model driven by interpretable sequential Deep Learning algorithm to capture short-term mean reversion pattern. Global March 2022

Liquid Alternatives

Name Description Universe History
Disruptive Innovation (ISA) This is a factor neutral strategy that targets the pure stock selection skill of discretionary ETF managers who invest in disruptive-innovation companies. US March 2021
Market Neutral Dividend Growth (MNDG) This leverages the strength of GRID (dividend growth) model on the long side; DISC and PADS (dividend cut) on short side. US July 2021
NLP Premia (GINA) We source textual alpha from a multitude of regulatory filings including 10K/10Qs, 8Ks, company call transcripts, 13Fs, Form 3/4s and global filings. US August 2019
Patent Innovation Alpha (PIA) Patent based stock selection model that rate stocks based on their innovation prowess, innovation maintenance, obsolescence risk and dominance in the patent citation network. US November 2019
Sector Specific Our strategy leverages sector specific models for banks, TMT, energy, REITs, ect. Our models utilize industry specific fundamentals and estimates, patent filings, property-level information, local macroeconomic variables, etc. US January 2021

Risk Fortified SMART BETA (Long/Short)

Name Description Universe History
Market Neutral Dividend (MND) We eliminate the dividend yield factor's undesirable and unintentional exposure to other common risk factors, boosting the performance of the dividend yield portfolio materially. Global March 2021
Market Neutral Momentum (DREAM) Our DREAM strategy effective captures the momentum upside while mitigating the downside by dynamic risk targeting and removing unnecessary risk exposure. Global April 2021
Market Neutral Value (AVID) This strategy captures the upside of value investing and avoids recent underperformances, with a much lower downside risk than conventional value factors. Global April 2021
Risk fortified Quality, and Growth We eliminate the dividend yield factor's undesirable and unintentional exposure to other common risk factors, boosting the performance of the dividend yield portfolio materially. Global March 2021

Risk PREMIA (Long Only)

Name Description Universe History
Long-Only Alpha Seeking This strategy outperforms the market confidently in different regimes. US November 2018
Long-Only Defensive This strategy outperforms the market during market sell-offs and performs inline with the market during market rallies. US April 2021
Long-Only Dividend This strategy tracks the S&P 500 index with a significantly higher dividend yield than the benchmark and a more consistent outperformance. US April 2021
Long-Only Value This strategy attempts to capture the upside of market recovery – similar to value investing – and at the same time, limits downside risk. US April 2021
Low volatility strategy (CALM) We enhance the traditional minimum variance strategy using a dynamic risk model that adapts to changing market conditions. US May 2020


Name Description Universe History
Cybersecurity Based on extensive ETF screening and NLP analysis (i.e. call transcripts, 8k filings, news stories), we built a composite model that scores all stocks potentially related to cybersecurity solutions. US October 2021
Pricing Power We identify companies that are likely to benefit from rising inflation by combining a suite of unique factors and enhanced NLP analysis on management presentations. US October 2021
Merger Arb (SARA) We create a long-only, systematic approach to capture the alternative risk premia from M&A transactions. US May 2018

Regional (Long Only)

Name Description Universe History
China A Strategy (MALTA) We construct an enhanced index strategy for CSI 300 and CSI 500. China December 2018
Chinese New Year Effect (CHEERS) This is a disciplined model specifically designed to capitalize on the Chinese New Year Effect. China January 2019
Emerging Markets Long Only (GEMMA) We leverage our factor library and deep domain knowledge to access emerging markets equities with consistent outperformance. EM November 2020

ESG Empowerment

Name Description Universe History
SHIELD-ESG 130/30 Strategy The strategy is designed to beat equity indices with a higher return and better ESG rating. It is expected to outperform their respective benchmark indices during market sell-offs and perform in line with the market in bull markets. US August 2020
Socially Conscious Long Only Strategy We develop a socially conscious basket leveraging our ETF analytics and NLP text mining on call transcripts and company regulatory filings. The basket also enjoys a substantially higher rating based on MSCI's ESG social pillar score than that of the benchmark index. US

Risk Factor Hedging

Name Description History
Completion Basket This basket edges out all (or selected) style risk(s) to best capture the idiosyncratic risk from stock selection. December 2021
Inflation and Interest Rate Hedge (SINC/SIRC) The inflation hedge basket SINC is highly correlated with the changes of the 10-year breakeven rate. The interest rate hedge basket SIRC is highly correlated with changes of treasury yield. November 2018
Momentum Hedge An effective momentum hedge that attains the same exposure but uses a lower capital requirement and transaction cost. September 2019

Custom Factor Strategies

Name Description
Customization Clients select factors from our factor library. All strategies can be tailored to meet client specific requirements.
Factor Library Our factor library consists of 3,000+ features including sector specific, ownership, macro, passive, NLP, as well as traditional style themes.

Short Bias

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Hedge Fund Diversifier

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