At SQS we are active both in the long and long-short space in several asset classes. Over the years we developed robust models that systematically harvest persistent sources of risk premia as well as short term anomalies caused by structural imbalances and behavioural biases.
We work in proximity with academia but constantly challenge subtle yet often unrealistic assumptions found in many academic studies.
Data quality and technology is at the heart of our investment processes. Our rigorous approach to data acquisition and analysis is rooted in science with the state-of-the-art technology applied across all stages through to trade execution.
Strategy evolution, which occurs within the group’s governance and risk management framework, and applied research form an integral part of our approach to investment management.
Our team draws on the latest advancements in engineering, mathematics, signal processing, robotics and asset pricing research.
Our experience in quant equity strategies dates back to 1996. We were among the first managers to implement systematic investment strategies in Emerging Market equities.
Today we manage investment programs across equity markets that range from long-only systematic risk premia strategies to intra-day long-short strategies that harvest alpha in short-term behavioural mispricing.
Despite a rising popularity and proliferation of multi-factor equity strategies, our principal belief is that the success of multi-factor investing is a function of not just a convincing simulation backed by academic study but actual harvesting of factor returns in light of market impact and other caveats an institutional investor is exposed to in practice.
Aside from a return premium similar to traditional asset classes, commodities have historically exhibited low or even negative correlation to equities and bonds. As a result, a broad commodity market exposure within a strategic asset allocation has shown the potential to materially improve the overall portfolio’s risk and return profile.
Yet for an investor, a passive exposure to traditional commodity markets index can lead to a negative roll yield, drawdowns, poor diversification and heavy exposure to energy. Overcoming the limitations of passive commodity index tracking and building truly diversified portfolios designed to be a robust building block for asset allocators is at the heart of our investment philosophy. It is well-known that many commodities such as natural gas and gasoline feature high degree of cyclicality and high volatility. Having mastered reversal strategies across equity markets we capitalize on these and other commodity specific systematic return drivers using a range of alpha models while providing a truly diversified exposure to the asset class.
Our approach to commodity markets investing combines specialist knowledge and applied commodity markets research with over twenty years of experience in quant investment management in different asset classes.