AlphaFocus Investment Research LLC is a limited liability company that focuses on quantitative investment research in global capital markets. Its research covers asset allocation, style/industry rotation, and the Smart Beta stock selection strategy using quantitative factor models. We offer Smart Beta strategies and ETF portfolios for institutional and individual investors. The investment objective is a high rate of return after risk adjustment.
The investment philosophy is based on the generalized fundamental law of active management established by one of the founders of the company, Dr. Zhuanxin Ding, fully recognizing that excess returns can only be obtained by taking excess risks. According to the principles of the fundamental law, portfolio excess returns come from the following four sources: 1) broadened investment selection universe; 2) properly built cross-sectional factor models that effectively capture the inherent relationship between excess returns and some of the main factors driving the movement of individual stocks returns; 3) better risk prediction for both the investment strategy and individual stocks; and 4) factor return prediction based on other macro and market variables. All these require a deep understanding of modern financial theories and a deep knowledge of modern financial econometrics.
Dr. Zhuanxin Ding, one of the founders of the company, is an internationally renowned quantitative researcher and investment practitioner. He was trained by two Nobel Prize winning economists, professors Clive Granger and Rob Engle, in the field of financial econometrics. He first discovered the long-memory property of financial market volatility and proposed the power ARCH model, the two-component ARCH model, and the long memory ARCH model for volatility prediction. All these models are widely used by investment professionals.