Following a brief Independence Day hiatus, we resume Factor Spotlight this week in the wake of the article published by Bloomberg this past Wednesday titled “The Hottest Hedge-Fund Strategy Faces an Existential Crisis”. This article posits that equity long-short strategies are no longer working and supports a conclusion that forecasts rough goings for the world’s most popular hedge...

Over the past 3 weeks we’ve focused on the Social components of OWL Analytics’ ESG composite datasets, including an analysis of historical trends in “Human Rights” and “Employee Diversity & Rights” factors. We have been able to uncover some promising evidence that companies ranked high on social factors also exhibited stronger performance historically. As we had discussed in the...

Last week, we reiterated our view that the investment community is uniquely positioned to effect positive change by deploying capital in companies that score well on Environmental, Social, and Governance factors. To that end, we walked through the framework of a high quality ESG dataset, courtesy of our partners at OWL Analytics (shown again below).Today, we’ll highlight how the ...

This past week we have been both outraged and heart-broken watching protests against racial injustice unfold across the country. We at Omega Point stand in full solidarity with the black community to fight systemic racism. We pledge to do our part to listen and to learn more about how we can impact change using the resources and tools available to us within the investment management...

We’re excited to announce that we’ve recently added Wolfe Research’s new US Broad Equity Model to the Omega Point platform. Our team has already taken a deep dive into the new model, which includes fundamental, technical, and alternative data factors, and it’s clear that it can be of significant value to any investor seeking to better explain systematic risk and return dispersion in...

We continue last week’s introduction to the Reversal factors found in the Barra US Total Market Equity Trading Model and discuss how these factors can be useful in helping guide trading. Although the risk model has 3 flavors of reversion, we will focus on the two most relevant to fundamentally oriented and longer horizon investors: Short-Term Reversal (“STR”) and Long-Term Reversal...

We continue our discussion from last week on the topic of mean reversion, this time through the lens of the MSCI Barra US Total Market Equity Trading Model.Before we do that though, we wanted to revisit our analysis on Antero Midstream, our mean reversion pick from last week. As you can see below, Antero has seen a fairly strong selloff MTD, and has now fallen from a +3.5 exposure (top...

With the markets continuing to shrug off negative unemployment news and health uncertainty of re-opening this month, we wanted to take this opportunity to introduce the family of mean reversion factors. Many of you are feeling tense about the recent rally, and are possibly looking to take defensive actions. Mean reversion factors can help highlight companies who’s recent returns...

As we enter into Q2 2020 earnings season, we wanted to revisit the Hedge Fund Concentration topic and highlight key crowded names across the major US sectors.As a reminder, we shared a 2019 paper that posited that the level of concentration has been consistently on the rise, stemming from three key reasons: