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  • In Japan, VFM is applied to long undervalued, good financials, high momentum stocks labeled as blue line; to short overvalued, bad financials, low momentum stocks as green line; long-short combination as red line is the low volatility absolute return portfolio.
  • VFM system differentiates long portfolios from short portfolios in Japan's top50 listed companies. Long “valuation peer (sales growth) cheap & momentum peer min” stocks within top50 could gain annual return of 3%~12% (long the opposite could lose -7%~ -12%); Japan is the efficient market with high participation of institutional investors; the AR annual return (+/-) in this table presents a perfect symmetry.
  • VFM system differentiates long portfolios from short portfolios in Taiwan's top50 listed companies. Long “financial peer (EPS) best & financial self (free cash flow) best” stocks within top50 could gain annual return of 5%~12% (long the opposite could lose -9~ -12%); Taiwan is the semi-efficient market with high participation of institutional investors; the AR annual return (+/-) in the table presents a perfect symmetry.
  • VFM system differentiates long portfolios from short portfolios in China's top50 listed companies. Long “financial self (ROE) best & valuation peer (book value) cheap” stocks within top50 could gain annual return of 8%~14% (long the opposite could lose -7~ -12%); China is the emerging market with high participation of retail investors; the AR annual return (+/-) in the table with noises presents a less perfect symmetry, but still valid.

We Design and Manage Low Volatility Absolute Return Investment Strategies

To select stocks with good Alpha, we consolidate the financial data from each of top1000 listed companies in China, Japan and Taiwan to create a database consists of top3000 listed companies, named Asia VFM database. We use quantitative methodology and information technology to implement fundamental analysis to select stocks, or called quantamental methodology.

Our VFM (Valuation, Financial and Momentum) system identifies undervalued, good financials, and high momentum listed companies in China, Taiwan and Japan; also VFM system will be employed for US and Europe market. We deliver efficient and quality performance with low costs which traditional human analysts and traders cannot compete with.

Model Architecture

The investment portfolios managed by our stock selection system and hedge system are designed for large size of capitals which prefer low volatility and absolute return. We allocate funds mainly to stock market and to fixed income market.....

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Risk Management

The risk could be high in single market; however, if we equally allocate funds to different markets, the MDD (maximum drawdown) is significantly reduced and the Sharpe Ratio could be optimized. Take the simulation as an example...............

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VFM System

VFM system uses quantamental analysis to identify undervalued, good financials and high/low momentum stocks to outperform market index. Alpha is the excess returns of a fund relative to the return of a benchmark index. We expect to...........

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Hedge System

The hedge system is made to hedge the market risks of China, Taiwan, Japan and Asia (CN+TW+JP) through equity index futures. It's a real time dynamic hedge system indicates optimal risk exposure and hedge ratio, also this system is a sophisticated.....

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