Quantitative Investment Strategies: Monthly Performance Highlights – September 2020

Articles & Reports

The CIBC Buyback vs Dilution Market Neutral Index gained 1.9% in September while most long-only strategies suffered losses. Its strong performance was driven by its tilt to the value and quality factors both of which outperformed in September. The strategy’s performance was especially strong in the first 5 days of the month when it gained 2% while the Nasdaq 100 Index declined by 8%, demonstrating its low correlation with major market benchmarks.

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