Before we take the plunge into this week’s election agenda, I’d like to take this opportunity to invite you to join me on Tuesday, Oct 27 for the fourth and final webinar in our Best Practices in Hedging series where I will be demonstrating: Single Stock Hedging Using SmartTrades™. This is designed to be a practical and hands-on session where I will showcase some of the latest Omega...
We continue last week’s introduction to the Reversal factors found in the Barra US Total Market Equity Trading Model and discuss how these factors can be useful in helping guide trading. Although the risk model has 3 flavors of reversion, we will focus on the two most relevant to fundamentally oriented and longer horizon investors: Short-Term Reversal (“STR”) and Long-Term Reversal...
We continue our discussion from last week on the topic of mean reversion, this time through the lens of the MSCI Barra US Total Market Equity Trading Model.Before we do that though, we wanted to revisit our analysis on Antero Midstream, our mean reversion pick from last week. As you can see below, Antero has seen a fairly strong selloff MTD, and has now fallen from a +3.5 exposure (top...
