Global Style Counselling: Portable Alpha Everywhere

Societe Generale's research outlines the success of its ML-enhanced multi-factor equity models. These strategies have outperformed traditional factor models by effectively capturing non-linear alpha.

Key Takeaways

• 1.Multi-factor equity strategies incorporating machine learning (ML) signals have outperformed traditional factor models, delivering 7.9% YTD return.
• 2.Portable alpha strategies address challenges in long-only implementation caused by market concentration.
• 3.Momentum remains a primary performance driver across global regions, particularly in the US and Europe.

Table of Contents

• Multi-factor performance
• Methodology recap
• Current positioning and Performance drivers
• Portable alpha
• Regional multi-factor models
• Pure single factors

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