NEW LAUNCH: CAMRI Academic-Industry Partnership Programme – MFM Monthly Commentary Initiative!

The Centre for Asset Management Research and Investments (CAMRI) has over the years developed in-house multi-factor stock selection models based on sound financial economic principles, the Finance academic literature and our own proprietary research. Our factor sub-composites, which are built completely in-house, include Balance Sheet Efficiency, Valuation, Earnings Revision, Momentum, Liquidity and Profitability. These factors allow us to rank and select stocks from a given country universe so as to generate better risk-adjusted returns for our Student Managed Fund Track portfolio at CAMRI.

 China MFM Long-only Sub-composite 

Since these factor models are built from bottom-up and based on fundamental and macroeconomic factors, when aggregated up, they also provide insights into country and regional level equity market performance and trends. Since 2009, CAMRI has developed quantitative Multi-factor Models (MFM) for 7 countries: U.S., Singapore, Hong Kong, Japan, India, China and South Korea.

TC Heatmap-Feb 2016

Additionally, we have had 2 live Student Managed Fund (SMF) versions of our MFM strategy. Initially, a Student-managed U.S. Long/Short Equity Market Neutral Strategy, which ran live between April 2012 until Dec 2015 (which was the deadline the NUS Administration gave us to remove the short side of the strategy). Since then we had re-calibrated our internal portfolio management systems and converted to a Student-managed Asia Long-only Strategy, which incepted on 5 Oct 2015. (It is up approximately 13% as of 31 May 2016.) The SMF Track and Live Portfolio at CAMRI enable our students to get hands-on experience in fundamental analysis, stock pitching, quantitative modeling, portfolio & risk management, etc.  CAMRI also generates various long-only and long/short SMF Paper Portfolio risk & performance reports on a monthly basis for various countries and regions. These are for our internal use only. (These reports are run off Bloomberg and unaudited.)

LIQ Heatmap-Feb 2016

Following the good performance of our models over the last 7 years, CAMRI has launched a “CAMRI Academic-Industry Partnership Programme – MFM Monthly Commentary Initiative” in partnership with the prestigious U.S.-based Pacific Pension & Investment Institute (“PPI”). Our purpose is twofold: Firstly, to share with the financial industry – i.e., asset managers, asset owners, sell-side, etc. – the performance and trends exhibited by our (aggregated) fundamental & macroeconomic indicators. And secondly, to enable the industry to financially support CAMRI and the SMF Track in (1) the hands-on training & preparation of our students for the industry, (2) the development of additional country stock selection (and quality) models, as well as (3) the various applied research endeavours at CAMRI.

This Academic-Industry Partnership Programme is similar to the ones practiced at U.S. academic institutions, example, Wharton’s Pension Research Council and NYU-Stern’s Salomon Center for the Study of Financial Institutions. Membership at CAMRI is available to financial institutions (“partners”) providing annual support to our Initiative, where our industry partners are recognised at the Platinum Member level or the Gold Member level:

  • Gold Members receive the standard monthly report at S$25,000 per annum (payable annually, with a 3-year minimum commitment), and will be able to dial-in to the monthly (password-enabled) conference call conducted by the CAMRI Director discussing the monthly report. Members will also receive special access to CAMRI’s research findings, publications & working papers, and invitations to all conferences and forums organised by CAMRI.
  • Platinum Members are Gold Members who wish to customise their reports for an agreed-upon monthly fee.

Should you have any questions regarding our Academic-Industry Partnership membership programme, please contact CAMRI at:

E: camri@nus.edu.sg
T: +65 6601 1047



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