Table of contents
Quant investing for the long run........................................................................................... 5
Quant processes – strategic benefits.............................................................................. 5
Quant versus non-quant.................................................................................................. 6
Credit Suisse’s quantitative framework ........................................................................... 7
Three-step approach to alpha generation............................................................................ 8
Market/factor analysis and forecasting............................................................................ 8
Decisions on active weights ............................................................................................ 8
Portfolio performance attribution ..................................................................................... 8
Alpha factor framework........................................................................................................ 9
What Works® International ................................................................................................. 10
Alpha Scorecard® International.......................................................................................... 12
Weighted Decile ....................................................................................................... 12
Industry scorecard ............................................................................................................. 13
Model performance............................................................................................................ 14
Alpha rankings................................................................................................................... 15
Periodic chart..................................................................................................................... 16
Value and growth segmentation ........................................................................................ 17
Periodic reports.................................................................................................................. 18
What Works International commentary......................................................................... 18
China ........................................................................................................................ 18
Hong Kong................................................................................................................ 20
South Korea.............................................................................................................. 22
Dividend yield studies ................................................................................................... 24
Global alpha factor studies............................................................................................ 24
Comprehensive suite of products and services ................................................................. 25
Macro factors affecting equity performance .................................................................. 25
Investment strategy evaluation and empirical testing ................................................... 25
Custom client projects................................................................................................... 25
Academic world............................................................................................................. 25
References.................................................................................................................... 25
Appendix I: Alpha generators ............................................................................................ 26
Traditional value............................................................................................................ 26
Relative value................................................................................................................ 26
Historical growth............................................................................................................ 26
Expected growth ........................................................................................................... 26
Profit trends................................................................................................................... 26
Accelerating sales ......................................................................................................... 26
Earnings momentum..................................................................................................... 26
Price momentum........................................................................................................... 26
Price reversal ................................................................................................................ 26
Small size...................................................................................................................... 27
Appendix II: Constructing portfolios ................................................................................... 27
Appendix III: What Works® International — market and alpha factor monitor.................... 28
Appendix IV: Alpha Scorecard® International – stock selection tool.................................. 32