Webinar - Discuss Alpha Generation with European Insiders

Date: Thursday, 17th January 2013
Time: 3:00 - 3:40 pm GMT (10:00 - 10:40 am EST)
Presenter: Jean-Robert Avettand-Fenoel
Register: https://attendee.gotowebinar.com/register/1761387188905071872

In their newest research paper on European Insider Data, Are Insiders Alpha Generators*, Deutsche Bank found factors that can be useful to detect profitable insider transactions and shows how portfolio performance and risk measures improve by investing in a Satellite Insider Portfolio.

Please join us from your desks on Thursday, January 17th at 3:00 pm GMT (10 am EST) for a webinar presentation by Jean-Robert Avettand-Fenoel from the European Equity Quantitative Strategy group at Deutsche Bank. He will review the DB team's key findings, including:

  • Buy transactions outperform over the long term, while share sales only mildly underperform on the short term
  • Factors for uncovering profitable transactions are: Insider Hierarchy, Transaction Size, Net Insider Volume and Trade Isolation as well as company characteristics like, R&D Intensity and Earnings surprises, help uncovering profitable deals
  • A prediction model built with the FOREST algorithm explains 12 months forward return by using 7 variables with very small prediction errors
  • After costs, a naive strategy generates a 0.36 information ratio over and above the benchmark, while an insider strategy conditioned on all factors more than doubles it, reaching 0.73

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