Institutional investors may request access to our monthly SQN newsletter and series of whitepapers, including:
Unlike black box quant offerings, SQN’s approach to quantitative factor investing is fully transparent and comprehensible. The underlying concepts and methodology of the platform are explained in detail in a series of whitepapers and newsletters that our team of experts has curated below.
Subscribe to the SQN monthly newsletter to stay abreast with the latest insights and trends in sector credit quality, enhancements to the SQN platform, as well as the development of our IG and HY Model Portfolios.
Our introductory whitepaper outlines Lucror’s approach to factor investing in credit, based on the principles of Quality and Value. We introduce Lucror’s proprietary Quality metric, the C-Score, which is more timely, responsive, granular and reliable than other Quality metrics.
As a measure of portfolio credit quality, the C-Score is more granular, accurate and responsive than credit agency ratings. Moreover, factor-based portfolios constructed using the C-Score as the Quality factor are of higher quality than their credit agency ratings suggest.
A comparison of portfolios with identical holdings but different weighting schemes shows that SQN-optimised weightage (i.e., overweighting higher-Value issues and underweighting lower-Value issues) improves portfolio performance without compromising portfolio quality.
In this note, we show that SQN’s approach to building and weighting factor-based portfolios is even more salient for high yield, as the ability to improve the quality/risk-return profile of a high-yield portfolio strongly enhances its performance.