How many Pod PMs are making secret factor bets?
Theoretically pods are supposed to be market neutral and factor constrained. But for those with experience in the space, how many PMs are actually making a good faith effort to do this vs. making hidden factor bets and then window dressing the portfolio near the market close to appear to abide by the risk limits? Do these PMs tend to be more/less successful than the ones who only trade on information idiosyncratic to the stock?
Santa punishes these pods for being naughty so nothing to worry about
in all seriousness a lot of factor returns are actually realized overnight and not intraday so I’m not sure if what you’re saying can make sense. Moreover it would seem difficult to meaningfully adjust factor exposure to generate enough return this way? Maybe I’m wrong about that. I’m curious why you think this phenomenon could plausibly exist? It would be interesting if true.
If you mean standardized factors like Size/Momentum/Growth - that's pretty hard to hide
If you mean tilts toward exogenous 'fundamental' factors - reopening/lockdown, AI winner/loser, short cycle/long cycle industrial etc. plenty
I guess thats sorta borderline idiosyncratic/fundamental though
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