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Identifying Crowded Names - Q3 2021 Earnings Season

October 17, 2021

Crowding continues to be a popular topic of conversation among investors. Crowded stocks can exhibit exacerbated pricing pressure when material information reaches the market. In addition, earnings releases can increase price volatility, making earnings a strong catalyst for crowded names.

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Kevin Wahlberg
Kevin Wahlberg

Stress Testing a Global Evergrande Shock

October 10, 2021

China Evergrande’s liquidity issues continue to stir up fears among investors of a localized downturn that could send shockwaves across global markets. Plans by Hopson Development Holdings to acquire a 51% stake in Evergrande could provide at least some short-term wiggle room for the company to remedy its cash flow problems. Even if this proves to be a lifeline to Evergrande, there’s already...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Could Evergrande Create a Global Domino Effect?

October 03, 2021

China has been lighting up the news outlets lately with news of crypto crack downs and general regulatory tightening. However, another story has been brewing around China Evergrande and the potential ripple effects on the global economy from Evergrande’s impending default on portions of its $300+ billion in liabilities.

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Is There Capacity in the Alpha Opportunity Ratio?

September 26, 2021

Over the past couple weeks, we’ve spent time analyzing what pockets of the market offer the most alpha opportunity for active managers. We found that the alpha opportunity ratio can be a useful metric to understand when and where managers have higher opportunity to align portfolio risk with their alpha ideas. This week, we’ll wrap up this analysis by using the alpha opportunity ratio in a...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Building Intuition Around the Alpha Opportunity Ratio

September 20, 2021

In last week’s Factor Spotlight, we introduced the notion of the diversification ratio as a way to quantify the degree of diversification opportunity across a universe of securities. Using this metric, we analyzed the level of diversification available across various segments of the US market.This week, we continue our analysis by highlighting the application of this ratio and offering a...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Where is Diversification Hiding?

September 12, 2021

Alpha and diversification have been especially elusive since the start of the pandemic in early 2020. As we’ve discussed previously, common systematic factors grab a tighter hold of stocks during periods of market stress, and assets begin to get pushed in a much more correlated fashion. So, to supplement our research on the return of alpha opportunity in the market, we will explore...

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Kevin Wahlberg
Kevin Wahlberg

Ripple Effects of the Infrastructure Bill

August 29, 2021

The buzz continued around the $1 trillion US infrastructure bill this week, as the bill faced unexpected rocky roads in the House. However, the House was able to clear a path for the bill and now targets a vote on Sept 27. Though there is still uncertainty around the bill’s final details, it feels clear that the focus on infrastructure spending, along with an emphasis on sustainability and...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Infrastructure Spending: How Much Juice for Clean Energy & the Grid?

August 22, 2021

Before we jump into this week's topic, I wanted to mention that my colleague and ace Factor Spotlight author, Alyx Flournoy, is featured in a just-released video from Qontigo that highlights its partnership with Omega Point. In addition, Alyx briefly demonstrates how to analyze a portfolio on the Omega Point platform using the new Axioma Global Macroeconomic Projection model, which quite...

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Kevin Wahlberg
Kevin Wahlberg

Is the Overheating Economy Cooking Your Portfolio?

August 15, 2021

This past week saw interesting and polarizing news, as the CPI and PPI releases yielded mixed feelings in the market. CPI rose 0.5%, which CNBC noted was in line with expectations based on the consensus from economists surveyed by Dow Jones, and Core CPI came in lower than expectations, rising only 0.3%. However, as outlined by MarketWatch, PPI jumped up higher than expected, rising by 1%...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

The Return of Alpha

August 08, 2021

From the onset of the COVID pandemic through much of the year 2020, we saw the deterioration of alpha-driven stocks as common, systematic factors dictated performance. So this week, we’ll revisit a question we last posed at the beginning of the year: “Where’s the Alpha?”. Have opportunities for idiosyncratic, stock-specific outperformance returned? If so, where can we look to find it?

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Kevin Wahlberg
Kevin Wahlberg