Omega Point Blog

Reflections On Quantamental Investing

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2019 Volatility Beta

Where's the Ceiling for volatility & Beta?

January 27, 2019
Never a dull week, even with the market taking a day off on Monday. With Volatility and Market Sensitivity both at “Extremely Overbought” levels, we'll take another look at these factors in a historical context to better understand where they are in relation to the market recoveries of 2009 and 2016. US Market In an abbreviated week, uncertainty from the government shutdown...
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Omer Cedar
Omer Cedar

2019 Volatility Beta Profitability

Profitability Lags While Beta & Volatility See Continued Strength

January 20, 2019

This week saw strong market performance amid a cascade of political and economic headlines. Here's an update on the factor story that we continue to find of most vital importance - the interplay between Volatility, Market Sensitivity, and Profitability as it relates to a sustained market recovery.US Market 

 

Our US Market factor (99% correlated to the S&P 500) continued its upwards...

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Omer Cedar
Omer Cedar

2019 Volatility Beta Profitability

Volatility & Beta Up Big While Profitability Slowly Recovers

January 13, 2019

This week brought with it some mixed news, between the potential jobs impact stemming from the government shutdown, increased optimism over US-China trade, and recent comments from the Fed about the need for “patience”. With regard to factors, we're seeing signals that indicate that we're in the midst of a return to a “risk-on” environment, with Volatility and Market Sensitivity both...

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Omer Cedar
Omer Cedar

2019 Profitability Volatility Fundamentals Axioma

Factors Have Rallied Amid Macro Uncertainty

January 06, 2019

I hope you enjoyed the holidays and year-end festivities. Today, we'll provide a factor update spanning the past two weeks, a period characterized by sustained choppiness in the market and mixed economic headlines. Just this week, AAPL dramatically lowered 1Q revenue guidance, citing “economic deceleration,” particularly in China. and the ISM Manufacturing Index's significant December put...

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Omer Cedar
Omer Cedar

2018 Growth Momentum Market Sensitivity

Factor Spotlight: EOY 2018

December 23, 2018

With the next issue to be published in January, the entire Omega Point team and I would also like to take this opportunity to wish you a peaceful holiday season and New Year filled with happiness and prosperity.

As noted last week, you can now access all past issues of Factor Spotlight on our website, and in this issue we have compiled a list of the top 5 most popular Factor Spotlights of...

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Omer Cedar
Omer Cedar

2018 Market Selloff Profitability Growth Momentum

Profitability is closer to an inflection point

December 16, 2018

I hope all is well as we head into year-end and the holiday season. Before we dive in this week, I’m thrilled to announce that you can now view current and past issues of Factor Spotlight directly on this blog. You can also filter articles based on keywords to more quickly find specific topics you would like to explore further.

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Omer Cedar
Omer Cedar

2018 Market Selloff Profitability Factormageddon 2016

Profitability nearing a Bottom

December 09, 2018

After a tumultuous four-day trading week, we wanted to quickly check in on some factors that we've been tracking, and then examine why Profitability is being flagged as “Extremely Oversold,” and compare the current period to previous times of weakness for that factor.

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Omer Cedar
Omer Cedar

2018 Market Selloff Value Earnings Yield Profitability Beta

Value vs Earnings Yield

December 02, 2018

I hope those of you in the US enjoyed Thanksgiving weekend with your families while we took a brief hiatus from Factor Spotlight. This week, we'll provide an update on some factors we've been tracking for the past few weeks, as well as dig into an interesting phenomenon that we're observing in the relationship between Earnings Yield and Value.

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Omer Cedar
Omer Cedar

2018 Market Selloff Volatility Beta Profitability

Risk-Off is back in Demand

November 18, 2018

Thanks to all who braved the weather to attend the Learn2Quant conference in New York on Friday. For those unable to make it, I'll share the slides from my presentation on "How to be Factor Aware” once they're available.

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Omer Cedar
Omer Cedar

2018 Market Selloff Quality Profitability

Post Midterms: Quality Back in Demand

November 11, 2018

Before we jump into this week's Factor Spotlight, I wanted to let you know that I will be at Learn2Quant New York on Friday, November 16, where I will be leading a session on "How to be Factor Aware" alongside Axioma's Melissa Brown. If you're in NYC this upcoming week, we hope you can attend.

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Omer Cedar
Omer Cedar
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