Monthly Newsletter Mar 2020: Asset Allocation Alphathon; Alphien Monetary Conditions Index

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While the COVID-19 situation has disrupted many businesses worldwide, our fully digital setup at Alphien enables us to continue operating by working from home, and to bring quality quantitative research services to our community.

Winners for Lyxor Alphathon announced

The award ceremony for Lyxor Alphathon was initially scheduled for 25th March, however in lieu of the COVID-19 situation, the ceremony has been postponed while the winners were announced online. If you have missed the announcement, you may find it here. The award ceremony will take place when it is safe to do so, and the winners will be receiving their awards during the ceremony.

Asset Allocation Alphathon launched

As many countries are now under partial or complete lockdowns, we are seeing an increase of online activities from our users, which makes it a timely opportunity for our new Alphathon - Asset Allocation Alphathon - to be launched. The objective of this Alphathon is to build asset allocation models based on three assets that provide robust performances throughout the economic cycle.

This Alphathon is sponsored by Decalia Asset Management, a Swiss asset manager. Continuing the success of the previous Alphathon, Lyxor has also come on board as a co-sponsor. One winning team will take home a cash prize of EUR 18,000 and earn licensing fees with a minimum of EUR 10 million invested in his/her systematic quantitative strategy.

Join the Alphathon here: Asset Allocation Alphathon

Introducing: Alphien Monetary Conditions Index

In the Alphathon, participants are given a number of macro and financial series to generate allocations, among which is the Alphien Monetary Conditions Index (“AMCI”). AMCI products are composite indices representing current market and monetary conditions.

They are based on a number of sub-indices and financial variables, each translating specific underlying trends in market risk aversion, interest rates, credit risk, market expectations and money flows. Every AMCI index is computed and published daily.

Global and Regional AMCI indices are available on the Alphien platform. Read the full post on how to access the data and implement this strategy.

SRI investing: linking ESG ratings to performance project conducted on Alphien platform

Alphien is hosting a group of 5 students from Ecole Polytechnique to run a project that compares MSCI ESG ratings and single stock performance. The project is coordinated by professor Patricia Crifo, co-head of the chair of Sustainable Finance and Responsible Investment.

MSCI has agreed to host their unique proprietary data on Alphien for the time of the project given the level of security the platform offers. Access to these sensitive data has been restricted to the students working on the project. Alphien complemented MSCI data with single stock descriptive data and price series (OHLC, adjusted prices and volumes).

After a preliminary exploration of the data universe, the students decided to restrict their work to the environmental factor, on which they found evidence of material price influence on European equities. After running multiple multivariate regressions across sectors and countries, the students are now refining their conclusions about the impact of the environmental rating and its associated sub-components to the returns of stocks. We will share their conclusions when they are finalised.

Interested to host a project/challenge on Alphien? Let us know!