Before we dive into this week's topic on crowding, I wanted to let you know that a recording of our joint webinar with Qontigo: Macro Matters, Even for Fundamental Managers is now available to view on our website in case you missed the live webinar. We hope that you enjoy it.

In our last two editions of Factor Spotlight, we explored volatility’s unprecedented post-COVID rally as well as its recent hints at renormalization. As the dust continues to settle, there are strong indications that suggest that low volatility stocks are coming back into favor while high volatility stocks might take a back seat. During this transitionary period, we have seen quite a bit of...

Volatility continues spiraling downwards as the factor seemingly marches back to the beat of its old drum. As we highlighted in last week’s Factor Spotlight, Volatility spent almost the whole of 2020 skyrocketing with positive performance; however, performance since February 2021 would show that the factor may be coming back down to earth.

Volatility has spent almost the whole of 2020 terrorizing investor portfolios as it soared on a rocket ship of positive performance. From January 2020 to its peak in February 2021, we saw this factor rise by almost 20% on a cumulative basis.

In last week's edition of Factor Spotlight, we introduced our new partnership with S3 Partners along with the availability of S3's market-leading Short Interest, Crowding, and Securities Finance datasets on the Omega Point Platform. This week, we leverage this highly actionable dataset to glean more insight into the short interest landscape and highlight methods to help improve market...

Before we dive in to this week’s topic, I want to remind our readers that there’s still time to register for our joint webinar with Qontigo on June 23 titled: Macro Matters, Even for Fundamental Managers, and we hope that you can join us. Now on to this week’s coverage. With today’s turbulent markets, the rise (and often subsequent fall) of the “meme stock,” and retail crusaders stepping into...

Before we jump into this week’s conclusion to our three-part beta series, I want to briefly veer back to an earlier topic I had covered during our recent macro series, which generated many positive comments and feedback from our readers. For those of you who would like to continue your macro explorations, my colleague Kevin Wahlberg will be co-presenting at a joint webinar with Qontigo on June...

In our last Factor Spotlight, we delved into the recent behavior of beta to understand why this measure has been less useful in helping investors hedge market risk. We highlighted the apparent de-coupling of beta from the general market based on the decreasing correlation of the Beta factor return to the Market factor return using US and global equity risk models from Axioma and MSCI Barra.

Investors often look to good ol' beta as the tried and true mechanism for hedging market risk in their portfolios. However, many have noted that lately, beta feels “broken”.

Hedging beta no longer seems to have the desired effect of mitigating risk in portfolios, and in fact, investors who have tried to hedge beta in 2020 and 2021 will have found major headwinds as the beta factor took off on...

If you want to hedge momentum, just go short Info-Tech and long Energy, correct?

Actually, not so fast.

This strategy may have been somewhat effective in prior markets; however in today’s market, the efficacy of this type of hedging strategy has been rapidly unraveling.

We can see this clearly by looking at the Momentum exposure, using the Wolfe Research QES US Broad risk model of QQQ vs....