Last week, we delved into ‘when’ macro matters by using the Axioma Macro Projection Model to identify historical periods when macro factors drove US equity volatility. This approach highlighted the Sovereign Debt Crisis in 2012 and the COVID market downturn as periods when macro factors became the leading contributors to volatility in the Russell 1000 Index. We also observed evidence of macro...

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Last week, we established that Macroeconomic factors appear to show a meaningful explanatory power over sectors such as Energy, Financials, and Real Estate. We concluded our analysis by noting that incorporating macro factors into the investment process shouldn’t be disruptive, but can actually be supportive. This week, we continue our examination to demonstrate how both macro &...

Fundamental and macro-oriented strategies have traditionally been separate and distinct styles of investing. Fundamental managers take a bottoms-up approach to identify companies that they believe are poised for future success or failure while macro managers employ more of a top-down view to isolate broader economic trends and then select those stocks which stand to be most impacted.

This week we revisit a popular Factor Spotlight topic as we head into the thick of Q2 2021 earnings season. With a market bracing for a procession of earnings announcements, we will explore the various forms of crowding measures to better understand what names are most vulnerable to systematic pressures stemming from concentrated holdings across the investment management landscape. Before we...

The focus on improved US infrastructure has lingered at center stage this week, as the business and investment worlds continue to weigh in on the pros and cons of President Biden’s proposed $2 trillion American Jobs Plan. Though the plan has faced much criticism in Congress, there are still ambitious efforts underway to get a clean infrastructure bill passed by the end of the summer.

This past week on March 31, the Biden Administration announced the American Jobs Plan, which proposes a $2 trillion plan to invest in US infrastructure. The plan highlights several areas of public investment designed to address the climate and racial inequities that have arisen in part due to an aging national infrastructure and lack of focus on research & development. If passed, the proposed...

In our prior two Factor Spotlights, Who’s Going With the (Momentum) Flow? and Is Momentum Flow Riding the Interest Rate Rollercoaster?, we have explored and analyzed the themes of momentum rotation and interest rates. Based on the many inquiries and portfolio evaluation requests we’ve received since we first published on these topics, we’re encouraged that so many in the investment community...

My name is Kevin Wahlberg, Product Specialist at Omega Point, and I’m excited to make my Factor Spotlight debut this week as we continue our series on the impending momentum rotation. As we wrote in last week’s Factor Spotlight - and as was highlighted in a recent Bloomberg article - a historic, pandemic-related systematic strategy rebalance is expected to lead to a significant momentum...

There has been a great deal of buzz among investors about a likely leadership change in momentum as we near the one-year anniversary of the market trough during the pandemic-induced downturn. As Bloomberg notes, the $2 trillion world of quantitative investing will have a potentially market-moving rebalance coming up over the next several weeks for momentum-based strategies that rely on the...

Value investing may have spent the last decade on the sidelines of the broader bull market, but Financials are an exception. This week, we pivot back to our spotlight on Wolfe Research’s sector-focused risk models and uncover some astounding factor premia that have been driving the Financials space.As we’ve noted in our recent posts on the Wolfe US Energy and Wolfe US TMT models, sector models...