◆ ORFEUZ BLOG ◆

BMO is a notable component of the Canadian TSX 60. In July 2020, the stock was close to the 50 mark, with the Jiseki trending downward. By September 2020, Jiseki’s drop below 20 hinted at a significan...

Authors: Mukul Pal, Ciprian Tiric, Florina Pal, Bianca Bradea, Oliviu Cigan, Dan Todor Affiliation: AlphaBlock Technologies Inc. Date: Nov 15, 2024 Abstract Market Capitalization (MCAP) is a foundatio...

The Need to Reinvent Long-Short Investing Long-short (LS) investing has long been considered a sophisticated strategy for generating risk-adjusted returns. It enables investors to capitalize on both r...

“Apples to apples” is one of the most crucial yet frequently misunderstood concepts in investment management. Over the years, the industry has seen numerous strategies—such as smart beta—claim they ca...

Long-short equity strategies occupy a unique position within the hedge fund landscape, offering a combination of opportunities and challenges that make them an essential mechanism for generating alpha...

Harry Markowitz’s groundbreaking work in portfolio theory forever changed how we think about investing. His Modern Portfolio Theory (MPT), which earned him the Nobel Prize in Economics in 1990, introd...

AQR is an asset manager overseeing around $100 billion, with its long-short strategy managing approximately $2 billion. Over the last 10 years, it has delivered an annualized return of around 10% and ...

Long-short funds are popular investment strategies employed primarily by hedge funds, where managers take both long and short positions in equities. This dual approach allows them to profit from stock...

We were excited about the sinusoidal maps that we had created, mapping the S&P500 cluster last time [1] [2] [3] [4][5], and were ready to explore the training data further when we realized somethi...

In this article part of our Clustering series, [1] [2] [3] [4] which began by identifying clusters in relative percentile ranking vs. S&P 500 component returns. We discovered that market capitaliz...