Can economic data help systematically pick stocks?

The proof is in the pudding! AKAnomics uses macro-economic data to decipher which US Industrials, Materials, and Consumer Discretionary companies are poised to show revenue surprise (beats or misses). And the earnings season acts as a strong catalyst and “proof”, with a significant boost in Sharpe Ratio during this period from the AKAnomics surprise signals. For example, our favorite sector-neutral strategy (see here) shows a Sharpe of 1.8 (see graph) during the earnings season (defined as +15 to +45 days post the end of the calendar quarter) from point-in-time (out-of-sample) data since Dec 2022 to present, 50% higher than the Sharpe associated with continuous weekly trading from the same signals. A similar boost in Sharpe can be observed during the full historical period to 2015.

If you would like to add new “quantamental” ideas to your systematic portfolio, or systematically leverage regional industry data in your discretionary long/short portfolio, we invite you to take a close look at AKAnomics signals. To chat with us, contact us at Info@AKAnomics.com.