The Omega Point team and I would like to wish you a very happy, healthful and successful 2018!
As we kick off the New Year, it’s no secret that advances in machine-learning technology are shifting the investment management landscape toward more systematic strategies and techniques. According to Hedge Fund Research, a leading provider of hedge fund data and analysis, the quantitative fund...
As we've discussed in previous blogs, there are various reasons why portfolio managers need to monitor and adjust the factor risk of their portfolio. Much of the time, it's prudently done to avoid unknown or unintended exposures. Other times, the emergence of a new factor risk in a portfolio can be evidence of style drift that a PM doesn't want. Sometimes, a manager has a macro view that leads...
As discussed in prior blog posts, factor exposures are an important lens through which to understand portfolios. The returns of factors are also an important metric for understanding what is going on in the stock market.
The first big signal that even today’s fundamental managers need new tools came in August, 2007. Before the financial crisis, there was the great quant meltdown. Partly precipitated by the failure of several Bear Stearns mortgage funds, large quantitative funds that traded with many times their leverage had to quickly exit positions, pushing down the value of many seemingly good companies. To...
