How to Capture Persistence Idiosyncratic Risk

Today I am speaking with Omer Cedar, CEO and co-founder of OmegaPoint.

One of the significant trends in quant equity over the last decade has been the attempt to better control for unintended bets and idiosyncratic risks. At OmegaPoint, Omer comes at the problem from the opposite direction: helping fundamental managers better focus on their idiosyncratic risk and recognize the factor risks they may be unintentionally taking.

We discuss how quantitative investors have impacted markets, how fundamental managers should think about factors, the low-hanging fruit for optimization, and surprising lessons Omer has learned in evaluating fundamental portfolios.

The idea of embracing idiosyncratic returns is, arguably, the antithesis of traditional quant investing. But in discussing the lessons learned about unintended bets from the opposite direction, I think there are important ideas that quants can take away.

I hope you enjoy my conversation with Omer Cedar.