|PROPRIETARY SERVICES |
Anti-Gravity Loss Avoidance
Anti-Gravity Loss Avoidance or ''AG'' is a proprietary stock screening process used to identify companies with the potential to disappoint. It acts to enhance rather than change the core strategy. AG uses earnings expectation dynamics and theories of investor behavior, drawn from academic research, to identify companies that are likely to perform poorly. It works in conjunction with any model or technique already used by the investment manager. This was developed in 1991 from the Antigravity theory of Prof. Zavanelli
APT Factor Models
Are growth stocks going to outperform value stocks? Are small cap stocks going to beat large cap stocks? ZPR can answer these questions with statistical confidence using its APT (Arbitrage Pricing Theory) model. We may be the only firm which has a functioning APT model with real time results. Our model focuses on macro economic forces and risk. We use such factors as bond term structure and credit risk to make accurate predictions of investor behavior. The APT model predicts which variables and methodologies will be the most effective predictors in the next quarter.
ICX Composite Modeling Service
ZPR's primary statistic for measuring investment methodology performance is the IC or ''information coefficient.'' The IC statistic is the correlation between a methodology and its excess return over a quarterly holding period. An optimization system uses historical IC's to create an ICX composite of several methodologies that has lower variability and higher expected excess returns than any investment methodology taken alone. ''January'' models contain a ''January Effect'' component to take advantage of the seasonal behavior of markets.
Integrated Effects System
This is ZPR’s system for adjusting quantitative models for special company events which have been identified as causing abnormal returns. ZPR then researches these anomalies on the ICX 2000 stock database to determine our own specifications and applications.
ZPR has standardized the expected abnormal performance of these special events by creating scoring system called Integrated Effects. This system can help the portfolio manager identify stocks whose performance will be affected by buyback, secondary offering, dividend dynamic and spinoff events in the future. The portfolio manager can also have ZPR incorporate his quantitative model into the Integrated Effects system and calibrate Integrated Effects score adjustments to the model. This offers the portfolio manager the means to determine if any special events will be significant enough to override the basic model’s result.
ZPR's EQTP Model is an excellent predictor by itself as well as when used in a muti-variable model. EQTP successfully picks companies with good or poor earnings quality. We found that companies that move to EQTP rank 1 from other quintiles during quarter (improving earnings quality) have superb performance. This strategy is successfully used by us in practice with excellent results since the third quarter of 2001.
In our constant search for statistical patters within the marketplace, we have discovered the super momentum stocks amongst the smallest of public companies. These are companies with significantly increasing earnings, increasing analyst coverage and forecasts, ratings upgrades, and positive earnings surprises. Not surprisingly, this model works best on under covered, thinly traded stocks found in the micro cap universe. Super Mocon strategy is rebalanced quarterly. Normally, no more than 45 stocks and as few as 15 make the list. This strategy has higher than average standard deviation but delivers spectacular results.
For many years, we have known that low volume stocks outperform high volume stocks. And they do that with lower standard deviation. We have three Volume models and we provide quarterly prediction reports on all three: Volume Winners, Volume Value, and Volume Momentum.