The IPO train keeps on moving, with GoodRx debuting this week up 53% in its first day of trading and Palantir and Asana set to hit the public scene next week. We continue our spotlight on IPOs by discussing how to de-risk IPO trades and boost your potential alpha in the name.
Before we kick off this week’s issue, we encourage you to check out Newfound Research’s Flirting with Models podcast which recently featured Omega Point’s Omer Cedar in which he discusses: how quantitative investors have impacted markets, how fundamental managers should think about factors, the low-hanging fruit for optimization, and surprising lessons he has learned in evaluating...
Last week we had focused on Volatility’s first major trend reversal since the Financial Crisis, adding its bullish 2020 turnaround to the growing list of unusual market behaviors we’ve seen in the COVID era. We compared sector drivers and correlations between today and 2009, and uncovered startling disparities alongside some remaining scraps of common ground. This week, we dig deeper...
Volatility has been on the run! For a factor that typically has abysmal performance and a very negative premia over time, Volatility is turning out to be 2020’s comeback kid. For all of the managers who actively tilt their portfolios away from this factor or manage ‘low volatility’ products, this recent trend from the Volatility factor could really be throwing a wrench into things.
My name is Kris Woods; some of you might know me as the Director of Customer Success here at Omega Point.Of the many services we provide our clients, one of the more common requests we receive is to construct a hedge basket designed to offset the factor risk inherent in a new (or existing) alpha-generating idea.
Anyone paying attention to the markets over the past several years is well aware of the tough times Value investors have faced, especially compared to their Growth-focused counterparts. Some have argued that Value’s downfall has been driven by the new normal of low interest rates and flattening / inversions of the yield curve. However, recent research by AQR debunks this theory and...
My name is Alyx Flournoy and I’m thrilled to join the Omega Point family as the Head of Product Specialists. For my first foray into Factor Spotlight, I’ll be continuing from last week’s look at the long-short hedge fund existential crisis by focusing on a dataset that is rising in popularity as an indicator of Retail Investor Sentiment. If you’ve noticed some unusual behavior in your...
