Frank Ferstler, Nicholas Pezolano
Numerai is a long/short global equity quant hedge fund that utilizes MSCI Barra Factors (such as size, value, momentum, etc.), country and sector risk factors as well as crowd-sourced factors/signals by anonymous users to make investment decisions. Numerai isolates the orthogonal component of a submitted signal that is not already present in their known signals. This captures the originality of the signal being provided. Although Numerai only focuses on equity markets, this is a good forum to test and track the performance of our analytics generated from Options data.
NewMark Risk has submitted several anonymized analytics, that are part of our Options Derived Analytics package, to the Numerai Signals Tournament which can be seen below.
|Signal||Staked||Weeks Top 1%||Weeks Top 5%||Weeks Top 15%|
*PRIMARCH was submitted in September (6 rounds) and the other signals were submitted in April (20 rounds)