You are here

TAA Signals

Wealth management seeks to allocate an investor's capital such that it best suits the investor's return/risk requirements and constraints. The process through which this allocation is determined and maintained is called the investment process. For active investment management, the investment process combines the definition of an initial and regularly reviewed strategic asset allocation (SAA) with more often applied tactical calls. These tactical investment calls (or "TAA signals") originate from changing capital market assumptions and aim at delivering active alpha.

Wealth managers deploy systematic processes to derive these tactical calls. While some of these processes focus on macroeconomic factors and policy changes, others are driven more bottom-up and analyze actual market developments. EventStudyTools' APIs are suited to programmatically support some of these bottom-up processes and add to the systematic generation of respective TAA signals. 

As per their current capabilities, EST APIs can provide several contributions: Using CATA, investment managers can develop proprietary sentiment capturing models. With our suite of abnormal effect calculators (AXC), valuation-, momentum, and trend/cycle-based signals can be composed. For example, using the abnormal return calculator's (ARC) outputs, the Treynor ratio could be systematically maintained for discretionarily defined stock groupings (e.g., along sectors or geographic markets) -  allowing for systematic tactical shifts between these and other groupings.