This week we place a brief pause on our Surprise Metrics analysis to introduce the Extreme Movers portfolio, another method that can help investors augment their understanding of what is transpiring in the markets. But for those of you who have been closely following the Surprise Metrics over the past several months, no worries; updated tables and our analysis will resume on Jun 4, following a...
A Market Flight to Quality
May 15, 2022Please see our Market Summary and Omega Point's Top Surprise Factors of the week below.The Surprise Metrics measure each factor's return divided by its predicted standard deviation. On a trailing one-week basis and since the invasion on Feb 24, we continue to see multiple standard deviation moves across a broad number of factors that continue to shift each week and are a unique indicator of the...
The Fed Sparks Panic in the Equity Markets
May 08, 2022Please see our Market Summary and Omega Point's Top Surprise Factors of the week below.
Investors Signal a Risk-Off Environment
May 01, 2022Please see our Market Summary and Omega Point's Top Surprise Factors of the week below.
The Surprise Metrics measure each factor's return divided by its predicted standard deviation. On a trailing one-week basis and since the invasion on Feb 24, we continue to see multiple standard deviation moves across a broad number of factors that continue to shift each week and are a unique indicator of the...
Macro Holds Onto Its Grip Over Global Equity Markets
April 24, 2022Please see below for our Market Summary and Omega Point’s Top Surprise Factors of the week.
Markets Feel Supply Chain Woes and Commodity Price Pressures
April 17, 2022Please see below for our Market Summary and Omega Point’s Top Surprise Factors of the week.
The Surprise Metrics measure each factor's return divided by its predicted standard deviation. On a trailing one-week basis and since the invasion on Feb 24, we continue to see multiple standard deviation moves across a broad number of factors that continue to shift each week and are a unique indicator of...
Rolling Out Our Weekly Surprise Metrics
April 10, 2022Today marks our inaugural condensed version of Factor Spotlight, as I mentioned in our last issue. Over the next few weeks, we will send out this version as we hone Factor Spotlight to leverage the hundreds of style, sector, macro, and other factors, from a wide variety of leading providers on the Omega Point ecosystem available to all our customers. We anticipate that the new Factor Spotlight...
What to Expect from an Inverting Yield Curve
April 03, 2022Before we kick off our long-awaited follow-up to our Setting the Stage for Upcoming Rate Hikes issue published way back on Feb 20, seemingly eons ago, given how the world has since changed, I'd like to share some related thoughts and make you aware of upcoming changes to our Factor Spotlight newsletter.
Geopolitical Risk Quant Insight 2022 Ukraine Crisis Multi-factor Analysis Surprise Metric Surprise Characteristics Indices
Macro Factors are Driving Market Surprise
March 27, 2022Markets exhibited more strange behavior this week as the war in Ukraine raged on, and the macroeconomic backdrop continued to drive investor sentiment. So this week, we continue to leverage our Surprise Indices to highlight market reaction to current global events. We’ll also extend our analysis to illustrate a practical example of using our Surprise Index framework, combined with additional...
Geopolitical Risk 2022 Ukraine Crisis Multi-factor Analysis Surprise Metric Surprise Characteristics Indices
Your Exposure to the New Economic Order - Part III
March 20, 2022Since the Russian invasion of Ukraine on February 24th, we have leveraged our access to over 150 style and 400 sector factors to measure the market’s reaction. In our last two editions of Factor Spotlight, we introduced our Surprise Metric and our Surprise Characteristics Indices to quantify the significance of factor movements in the market and the sensitivity of assets to this new economic...