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Alpha, Beta, Alpha-Beta  021424

Efforting differentiated Alpha on top of Beta compression is advanced by peer group analytics and valuation, two fundamental tenets of the research process useful in capturing ranged performance dispersion among component members within designated benchmarks (cross-asset, multi-factor).


<U/O> Matrix via Applied Indexation utilizes the modularity of corporate business segment operations to improve peer group analytics and valuation, refining standard index sector/industry/subindustry nomenclature assignments to better express relationships among variables and generate effective Tier-2: Alpha and Alpha-Beta screens for relative value assessments (strategies: conventional, index-plus, thematic, megatrend, long/short).


Current thematic is in the Clean Energy ETF space (ticker PBW: 12-mo. performance dispersion +166.0%/-89.0% 021424) as proxy for institutional portfolio managers, derived initially from a conceptual combined Renewables/Diversified Industrials/Technology sector-themed overlay; methodology is adaptive across economic sectors and asset classes (equity, corporate credit).


Resultant data sets are presented on a relative portfolio- versus market capitalization-weighted basis, providing multivariate performance attribution and capacity to isolate valuation drivers at distinct points of inflection (ref. past-positive forward looking indicators).


For proprietary methodology, note recent publications posted unrestricted online: <U/O> Tutorial_5: Performance Dispersion (Meta) and Data Refinement: Business Segment Operations (BSOs) along with slideshow tutorial <U/O> Matrix - Establishing Predictive Value: Applied Indexation, Hierarchical Data Sets and Competitive Market Information.

Please message direct with any questions or for product development considerations; on a standalone basis, spreadsheet downloads are available for research libraries at b-platform Access tab (auto-generated password; PayPal hosted).


#EnergyComplex #CleanEnergy #Renewables #Strategy #PortfolioManagement #PortfolioStrategies #CorporateFinance #BSOs #Analytics

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