There is no shortage of systematic distortion in the market as we kick off Q4 2021 earnings season. As we have in the past, we will highlight the most crowded stocks from both a long and short perspective as earnings calls begin. Crowded stocks can exhibit exacerbated pricing pressure when material information reaches the market. In addition, earnings releases can increase price volatility,...
Quantifying the Impact of an Increasingly Hawkish Fed
January 09, 2022This week, we’re temporarily pausing our “Where’s the Alpha?” series to help our community analyze the potential impact of the Fed’s hawkish surprise earlier this week.
The Fed’s Dec 14-15 meeting minutes became publicly available on Tuesday, revealing that the Fed intends to accelerate the reduction of the bonds held on its balance sheet. While most observers expected measured rate increases,...
Where’s the Alpha? - 2021 Edition
January 02, 2022The transition from one year into the next offers opportunities for reflection and learning. As we mark the end of a year filled with tumult and tribulation, we can use past patterns to help inform where we may find new successes in the future. Over the next few weeks, we’ll be looking back to 2021 to help understand what the alpha opportunity looked like for fundamental investors and help...
2021 Holiday Wrappings
December 19, 2021‘Tis the season for tying up loose ends, last-minute gift searching, and roasting chestnuts over open fires.
The Tax Trade: Fact or Fiction?
December 12, 2021Year-end is invariably a time of increased buzz around tax-loss harvesting as investors across all corners of the market look to minimize tax liabilities. Traditional tax-loss harvesting strategies typically include selling losers to offset gains and lower the overall capital gains tax liability. These strategies can also extend to selling winners to lock in gains offset by the losses incurred...
Where’s the Macro?
December 05, 2021Throughout 2021, we’ve explored a variety of macroeconomic influences on equity risk and performance, from interest rates to inflation, commodities, and more. Of course, the magnitude of the macro role in equity markets fluctuates over time but, for many, it has felt as though macroeconomic factors have been a massive driver of performance for nearly two years running. As a result, as...
The Avis Short Squeeze, Who’s Next?
November 21, 2021Months after the “Meme Stock” and retail events of early 2021, fears of short squeezes resulting in massive losses are still very much on investors’ minds. Crowding among particular industries and individual stocks, combined with continued market volatility and increased retail investing, has maintained the conditions that have allowed more and more squeeze events to occur.
Telling a Sector Story of Growth vs. Value
November 14, 2021In last week’s Factor Spotlight, we revisited the Growth vs. Value debate. We highlighted the factor and sector drivers that characterized the 2021 rotation that has seen Growth fall out of favor and Value come back into style. Of course, the Growth vs. Value story has been a prevalent story for investors for quite some time, but why is it necessary to consider these themes today?
The Battle Between Growth and Value
November 07, 2021Before we kick off, I wanted to let you know that the latest issue of Regius Magazine features an article from Omega Point on “Improving Tax-Aware Performance Through Better Substitutions.” You can find us on p.74, and I encourage you to check out the rest of the excellent coverage, which focuses on Crypto, ESG, and Sustainability.
The last two times we highlighted the relationship between...
Dissecting the Q3 2021 Momentum Rally
October 31, 2021The Momentum factor tends to be top-of-mind for factor practitioners in all markets, but it has been particularly tough to take the eye off of Momentum in 2021. The last time we spotlighted Momentum, we pointed to the beginning of a transition in the makeup and characteristics of Momentum stocks. Because Medium-Term Momentum is typically a measure of a stock’s trailing twelve-month return,...