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Laxman Pai, Opalesque Asia: Lombard Odier Investment Managers (LOIM), the asset management business of the Lombard Odier Group, has launched a quantitative hedge fund to identify company earnings surprises.
LOIM's DataEdge is an equity market-neutral strategy that uses big data analysis/systematic processes to identify consumer behavior trends and their impact on earnings forecasts to seek alpha. The strategy is now opening for the first time to external investors and in a UCITS format.
The Switzerland-based asset manager focused on institutional investors, third-party distributors, and financial intermediaries said in a media release that the strategy relies on the analysis of alternative data points across multiple geographies, sectors, and sources, including credit card transactions, digital receipts, web traffic, activity on apps and geolocation services. This data is structured and filtered to identify consumer behavior trends in real-time.
According to the company, systematic and quantitative analysis methods are then applied to predict how patterns could impact the key performance indicators (KPIs) of listed companies, such as sales, revenues, and new customers, as well as to track inflection points in the trends of KPIs over several quarters. "This 'information edge' improves the forecasting of company results, to better predict earnings surprises and capture alpha potential," it said.
The investment universe is US-centric and predominantly focuses on small to mid-cap companies across consumer, technology, industrial, and healthcare sectors. "The strategy monitors almost 700 companies daily to create a contrarian and diversified portfolio of 200-250 active stocks, where we see strong potential for divergence between company results and market expectations, therefore generating alpha potential," the company said.
The DataEdge strategy is managed by Co-Lead Portfolio Managers, Laurent Joue and Marc Pellaud, who have a combined 36 years of experience in systematic alternatives strategies. Laurent and Marc work closely with LOIM's quantitative investment team of 21 professionals, which together manages more than USD 10bn.
Jean-Pascal Porcherot, Co-Head of LOIM and Managing Partner at Lombard Odier, said: "The DataEdge strategy is an important addition to LOIM's range of hedge fund strategies. It highlights the depth of skill and expertise across our systematic offering, as we continue to seek new ways to generate alpha across asset classes. With the DataEdge strategy, we are combining tested, disciplined investment processes with new data sources to offer investors a differentiated market-neutral strategy and compelling potential returns"
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