May – Research & performance reporting

The US equity market is probably the most efficient market globally. With a contribution of about 60% in the MSCI world equity index, it is also by far the largest equity market. A diversified Asset Allocation cannot be thought of without a weighting dedicated to US equities. Two questions then arise: Has the large cap. US market become a pure ETF market as it is impossible to outperform the correponding indices? Given the fact that the trailing SP500 Price Earnings Ratio is at the very high level of 24, would it be possible to reduce some of the market exposure (the beta) to this universe, while still generating performance?

As a Research Lab, Bramham Gardens rises to the technical challenge. Using adaptive techniques derived from Artificial Intelligence, we wish to prove that it is possible to create value in this very dynamic asset class. We have noticed that earnings announcement periods are important because related market events trigger price movements.

  • The month of May has been an interesting month for our long only strategy. By selecting stocks without resorting to sector rotation, our approach has added value over the benchmark.
  • In the wake of Q1 earnings announcements, the non leveraged long-short strategy has been able to capture the outperformance of stocks like Nvidia, Equinix, Domino’s Pizza or Broadcom limited, while limiting the beta to the overall market.

Obviously, these theoretical strategies are presented gross of any cost and assuming stock avalaibility and no slippage.

The long strategy is quite up this month

Price based – ex dividends SP500 Long
Year to end of May 7.44% 12.20%
March 1.15% 8.20%

A long-short delivery matching expectations

Long-Short Price based
Year to end of May 4.86%
May 3.03%

We are available to discuss with you our work : contact@bramham-gardens.com



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