02 · Capabilities
Equity
Equity work is about definitions before results: the universe, the lags, the rebalance rule, the costs. We build indices, factor models, and structured-product analytics where every one of those choices is declared up front and can be changed by the people who own the strategy.
What you might be trying to decide.
Engagements start from a decision. These are the kinds of questions equity work usually begins with.
- 01What does this factor actually return once universe, lag, and cost choices are fixed and published?
- 02Can this fund's exposure be replicated with a rules-based index, and at what tracking error?
- 03How much passive flow hits these names at the next reconstitution, and when?
- 04What is the fair margin in this structured equity product, decomposed by component?
Work we can scope.
Capabilities are areas of work, not off-the-shelf products. Each is scoped to the question, and its status is shown honestly.
| No. | Capability | What it covers | Form | Status |
|---|---|---|---|---|
| EQ-01 | Custom indices | Custom, thematic, and factor index construction, including fund replication. | research | Needs Confirmation |
| EQ-02 | Index construction and backtesting tool | Define, build, and backtest custom indices with attribution. | tool | Needs Confirmation |
| EQ-03 | Index rebalancing analytics | Reconstitution events and passive flow pressure. | research | Needs Confirmation |
| EQ-04 | Leveraged ETF flow models | Daily rebalancing flows and their impact on underlyings. | model | Needs Confirmation |
| EQ-05 | Structured equity products | Pricing, margin decomposition, and replication across the full product taxonomy. | model | Needs Confirmation |
| EQ-06 | Options microstructure | How flow at one strike propagates across the vol surface and term structure. | model | Needs Confirmation |
| EQ-07 | ETF options arbitrage | Dislocations between ETF option vol and constituent-implied basket vol. | research | Needs Confirmation |
| EQ-08 | Momentum research | Regime detection, momentum scoring, and screening. | tool | Needs Confirmation |
| EQ-09 | Post-earnings patterns | Stocks with persistent post-earnings drop and recovery behavior. | research | Needs Confirmation |
| EQ-10 | IPO analysis | IPO returns, pricing dynamics, and post-IPO trading behavior. | research | Needs Confirmation |
| EQ-11 | REIT occupancy data | Unit-level occupancy and pricing signals for REIT investors. | data | Needs Confirmation |
| EQ-12 | Chart prediction research | Gamified chart prediction with a signal research backend. | tool | Needs Confirmation |
Form: data · model · tool · researchStatus reflects the internal portfolio inventory and is updated as work is confirmed
How we approach it
- Factor definitions fixed and published before any performance is shown
- Point-in-time universes with survivorship and look-ahead controls stated
- Transaction cost and turnover models disclosed with the backtest
- Replication by constrained optimization with tracking error reported
- Structured product decomposition into vanilla and exotic components
What an engagement produces
- Index methodology document with rebalance rules and governance
- Backtest with attribution and a table of every rebalance
- Factor definition register
- Pricing model code with margin decomposition
- Research note with limitations
Have a equity question?
Bring the decision and whatever evidence you have. We will tell you what kind of engagement fits, and what it would produce.
Discuss a question