OptionMetrics to Sponsor, Exhibit, Present at the Europe EQD 2019 Forum in Barcelona
NEW YORK--(BUSINESS WIRE)--Jan 24, 2019--OptionMetrics, an options database and analytics provider for institutional investors and academic researchers, will be sponsoring and exhibiting at the 3rd annual Europe EQD: The Volatility & Alternative Risk Premia Forum in Barcelona from January 28 – 29. OptionMetrics’ Head of Quantitative Research Garrett DeSimone will also present his paper on “Implied Idiosyncratic Vol for Momentum Strategy Enhancement,” examining the drivers of the momentum factor.
With the focus of Europe EQD on the latest in cross-asset volatility, alternative risk premia, and advances in quantitative investment management for traders, portfolio managers, and asset allocators in the Americas, EMEA, and Asia Pacific, OptionMetrics CEO David Hait, Ph.D. says his team is eager to share how options data is providing greater insight into markets.
“Options are becoming more popular with a growing number of investors in the U.S. and Europe. In fact, we’re seeing increased volumes not seen since 2010,” said Hait. “More conservative firms are getting interested in options too, particularly pension funds.”
DeSimone says his paper and presentation take a deeper look at the drivers of the momentum factor. “A traditional momentum strategy involves buying winners and selling losers based on the past 12 months returns. This strategy can be amplified by selecting stocks within the Winner-minus-Loser portfolio that have high implied idiosyncratic volatility (IVOL), which is extracted from option prices,” he says.
To secure a meeting with OptionMetrics at Europe EQD or for a PDF of Garrett DeSimone’s paper, email Eran Steinberg.
Founded in 1999, OptionMetrics distributes its IvyDB historical options databases for U.S., Canada, Europe, Asia, and global indices to corporate and institutional subscribers, as well as top business schools worldwide. It has covered every U.S. strike and expiration option on over 3,000 underlying stocks and indices since 1996. Leading portfolio managers, equity options traders, and quantitative researchers rely on OptionMetrics for extensive, high-quality data to construct and test options investment strategies, perform empirical research, and accurately assess risk. www.optionmetrics.com, LinkedIn, Twitter, Facebook.
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PUB: 01/24/2019 12:18 PM/DISC: 01/24/2019 12:18 PM