IVolatility IVolatility


Cross-Asset Model 1

A joint venture between IVolatility and ExtractAlpha

We are excited to announce the launch of ExtractAlpha’s Cross-Asset Model 1 (CAM1) using IVolatility data.

ExtractAlpha, an independent research firm provides unique, actionable alpha signals to institutional investors.

ExctractAlpha's model creating expertise and IVolatility's comprehensive data combined to create CAM1, a mutually beneficial partnership.

ExtractAlpha's CAM1 is an innovative quantitative stock selection model designed to capture information contained in end-of-day US option market prices and volume profiting from gradual cross-asset information flows using implied volatility, volume, and open interest data to consistently predict returns on both the long and the short side serving to complement existing short-to mid-term stock selection models.

In historical simulations, high-scoring stocks according to CAM1 outperform low-scoring stocks by 18% per annum with a market-neutral Sharpe ratio of 3.0 before transaction costs. CAM1 is particularly effective in volatile regimes and for mid and small-cap stocks and is best used in conjunction with other alpha signals with similar time horizons.

In the current challenging environment for quantitative managers, it is imperative to explore new sources of alpha, and our models are designed to allow managers to capture uncorrelated alpha in a straightforward way.

Read more about ExtractAlpha and CAM1 model here

For a limited time we offer this truly unique alpha generator at a special introductory price.

For more information and how to get started with CAM1 contact info@extractalpha.com.