FRESH Equity Program

Detailed View

FRESH is a systematic investment strategy that uses quantitative techniques to choose stocks for investment.

FRESH is designed to choose stocks that will outperform their peers in the short term (alpha.) FRESH is not a market timing program and does not seek to reduce overall risk (beta.)

Except for when FRESH’s risk control measures flag individual selection, FRESH will always be invested.

FRESH is the core of our equity investment program. Every trading day FRESH examines all the stocks within a group (such as the S&P 500 or the NASDAQ 100) and ranks each one based on a combination of statistics and probability theory. FRESH relies on stochastic analyses to determine the probability each security will
provide a return greater than every other security in the population.

Ranking all securities based on this calculation provides the basis for selecting portfolios of securities most likely to provide returns exceeding the population. The ranking is designed to predict the likelihood of that stock outperforming all the others in the group over the very short term – most usually one to three days.

Rankings are calculated 10 minutes before the stock market’s regular trading session ends. Portfolios are then rebalanced: any existing holdings that have slipped out of the top ranks are sold; any new stocks that have moved into the top ranks are purchased.

Most commonly (but not always) securities selected by FRESH have declined on the day.

Most commonly (but not always) securities are only held for one to three days.

There are several layers of risk control measures. These include include buy filter and stop losses. Buy filters are in place to help us avoid entering a trade into a stock that may be experiencing an unusually large decline.

Stop losses are used once we’re in a trade to try and limit the potential losses in that security. It’s important to note that while stop losses can be useful, they are not foolproof. In fast-moving markets, a stop loss order might be executed at a lower price than expected, or even not at all. Additionally, a security’s price might briefly dip to the stop loss level before rebounding, resulting in a potentially unnecessary sale.

QEX is currently offering FRESH in two flavors. One looks for opportunities solely within the stocks that make up the S&P 500. The other looks for opportunities within the NASDAQ 100.

The initial precursor to the current FRESH model was initially developed in 2013-15 and then test traded for over a year. Data issues associated with real-time data procurement and the need for faster computational power eventually caused the test trading to be halted.

The statistical modeling technology behind that system was the precursor to the current FRESH systems. Significant improvements were made from lessons learned during the initial test trading resulting in the current FRESH modeling technology.

With multiple data vendors currently offering robust historical and real-time data, FRESH is no longer impacted by data availability. Internet speeds and computational power have also contributed significantly to the ability to generate and trade securities in near real-time.

All FRESH systems have been tested in the real world under varying market conditions before they were made available to investors. The first two FRESH systems developed have been test traded for almost 2-1/2 years (beginning mid-2021) using our own accounts with real money.

During this time we have made significant advances in risk control measures and achieved real results in those accounts on a daily basis
that closely matched our expectations.

Real time trading and tracking for FRESH-SPX begin March 31, 2023. Real time trading and tracking of FRESH-NDX began July 31, 2023.