GPO BOX 1377,
Sydney NSW 2001
Goldsky employs proprietary computer assisted fundamental, technical and behavioural analyses of securities and derivatives to predict fluctuations and determine potential price movements and turning points of individual stocks, market sectors and broad based indices.
Our research has shown that certain factors are directly associated with the direction of individual stocks and global indices, the alpha of these factors are empirically robust and persuasive over time and geography and can be traced to a combination of behavioural inefficiencies, market structure and risk premiums. Our independent thinking and links to academia are key elements in the development of quantitative investing techniques that are ideal for detecting and systematically exploiting these factors.
Goldsky uses proprietary quantitative investment models to identify, measure, and exploit both behavioural mispricings and informational mispricings of both undervalued or overvalued stocks and indices that at the time of purchase that have potential for near¬ term appreciation or depreciation. Our portfolio construction process integrates our short term Alpha engines which assess the likelihood of short term price movements designed to deliver excess returns in a higher risk controlled manner
We use an optimisation process to balance the trade-offs between the expected returns of individual stocks and their contribution to portfolio risk; we assign risk attributes to each stock to predict how combinations of stocks may contribute to overall portfolio risk. We seek to better distinguish intentional risks (arising from our alpha models) from unintentional risks (arising from style exposure or residual risk)
Our infrastructure allows for complete transparency in the sources of risk, costs and returns that drive portfolio construction decisions. This enables us to ensure that the intuition behind our Alpha ideas is reflected in portfolios while accounting for the significant trade-offs related to transaction costs and the contribution to the risk associated with each trade. Our portfolio construction process integrates our alpha-modelling process and helps to ensure that each portfolio reflects the optimal combination of risk and return.