Jyske Quant - A quantitative multi-factor approach

Jyske Quant Global Large Cap Equities is a multi-factor model that aims to rank a global equity universe, thereby identifying the most (or least) attractive equity positions/exposure. The ranking is based on an overall score, calculated on the basis three well-documented factors associated with excess return, Value, Quality and Momentum.

Model characteristics and use

The model is incredibly stable out-of-sample, and deliver a high risk-adjusted return with acceptable drawdowns. Moreover, the dynamic and unsystematic factor diversification contributes to the overall model, delivering better results than the main factors separately and hence also better than an equally weighted average of the factors.

Our multi-factor approach should be of interest for the asset manager who in connection with the portfolio construction seeks to secure a reasonable factor diversification. Moreover, it should be of interest for the discretionary investor who wishes to play various investment themes. In addition, the model is relevant for investors aiming to diversify their portfolios by trading several strategies. For instance by allocating a share of capital under management to a quant-based strategy.