Integrated SRI Scoring


An ever-changing kaleidoscope of factors and one off events drives equity returns. Therefore it seems wise to mix the results from quantitative modelling with theories, experience and judgement of those aspects which are traditionally not approached by quantitative analysis.

Such a mixed perspective emphasises the design of an investment process suitable to track this "shifting" problem effectively. Such an open/flexible cross-sectional-factor approach (CSF) can be based on PEER's SRI integrated DCF.

The key characteristics of this CSF are: Flexibility to accommodate different model forms, robustness to noise in the data, simplicity, parsimony and an intuitive accessible reporting format to support communication of the results, combined with theoretical rigour to maximise confidence in the output.