Lombard Odier Funds - DataEdge Market Neutral

The DataEdge Market Neutral Strategy uses a systematic, quantamental approach combining advanced alternative data analytics and quantitative investing techniques. The strategy has been incubated internally at LO since 2018 and has recently launched as a standlone UCITS fund. Its philosophy is focused on capturing alpha through forecasting of companies' fundamental indicators, such as revenue and sales, leveraging unique, real-time data sources like consumer spending, web behaviour, geolocation, and social media trends. Ultimately, they are utilising alternative data to predict earnings revisions. It can feel like a slightly contrarian portfolio, as they are looking to invest in stocks where the models predict large delta vs. market expectations. The strategy emphasises market, sector, and factor neutrality, targeting an absolute return in the region of SOFR+6% with very low correlation (<0.1) to traditional asset classes. Portfolio construction involves around 250-300 stocks, each position capped at 3.5%, ensuring broad diversification and controlled concentration risks. The portfolio is US-centric, particularly focused on mid-cap stocks in consumer, industrial, and technology sectors, aiming for minimal overlap (20%) with the S&P 500. Risk management is embedded throughout the process, maintaining a neutral market beta (-5% to +5%) and factor exposure minimisation.