DataEdge Market Neutral

Seeking alpha potential through alternative data

Alternative data is a powerful resource for investors analysing corporate fundamentals in advance of earnings reports, generating actionable insights on progress towards performance targets. Through alternative data, we seek an information edge – and strong alpha potential.

70 - 80%

hit rate target for
earnings revisions

<0.1

correlation to
traditional asset classes

people dedicated to
alternative data *

Target performance/risk represents a portfolio construction goal. It does not represent past performance/risk and may not be representative of actual future performance. For illustrative purposes only. *This expertise is accessed via a specialist external firm.

what is big data?

By tracking consumer behaviour, big data provide a mosaic of information derived from multiple sources. Such data include consumer spending habits, online behaviour, geolocation services and contributory databases.

Alternative data sources

source: LOIM. For illustrative purposes only.

our DataEdge strategy.

Generating actionable insights from alternative data sources, we aim to deliver a market-neutral equity portfolio offering strong alpha potential and a very low correlation to traditional asset classes.

Applying data-science techniques to diverse information sources – such as aggregated and geolocated credit-card transactions and insurance claims, airport traffic and internet searches – we seek an information edge ahead of corporate earnings revisions. We exclude social media views due to amplification risks and biased consumer views.

After leveraging big data to gain predictive analytics on corporate fundamentals, we manage the portfolio through systematic techniques to ensure diversification and robustness.

key characteristics.

Target Information Ratio above 1 with annualised volatility target of ~7-8%
Pure alpha potential with minimal correlation to traditional asset classes
Predictive models achieving a 70-80% hit rate on earnings revisions
Long and short alpha-seeking exposures
Low concentration risk with a highly diversified portfolio of ~250 stocks

Holdings and allocations are subject to change.

why us?

We understand, and actively use,
alternative data – LOIM has
incubated and tested an equivalent
strategy since 2018

Trusted by institutional investors
across the world

Robust infrastructure supporting
talented teams since 2007

investment process.

Source: Fact set data as at October 2023, LOIM. For illustrative purposes only.

investment team.

Our quantitative investment team comprises 21 experienced investment professionals managing more than USD 10 billion¹ during long, continuing tenures at LOIM. Laurent Joué leads the Systematic Alternatives team, having worked at LOIM for 18 years.

To access more than 200 tested alternative datasets, we partner with a pioneering big-data aggregator led by a former Portfolio Manager on our 1798 platform.

[1] AUM as of June 2024.


Laurent Joué Head of Systematic Alternatives

Marc Pellaud, PhD
Portfolio Manager

LO Investment Quant Infrastructure

+ ~20 individuals
Quantitative portfolio managers & quantitative research analysts

Data Aggregators

+ ~45 individuals
Data research analysts
Data cleaning & testing analysts

Data vendors

More than ~200 data sets
Online behavior, consumer spending, geolocation…

Source LOIM : Team subject to change. For illustrative purposes only.

Find out more about our DataEdge Market Neutral fund, including share classes.

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important information.

This document is a Corporate Communication and is intended for Professional Investors only. This document is a Corporate Communication for Professional Investors only and is not a marketing communication related to a fund, an investment product or investment services in your country. This document is not intended to provide investment, tax, accounting, professional or legal advice. This document is issued by Lombard Odier Asset Management (Europe) Limited (hereinafter the “Company”).

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