First off, we hope that you and your loved ones remain healthy and safe, wherever you may be isolating during these difficult and troubling times.
Synopsis of How Major Factors Have Moved in March 2020
Market turbulence spurred by the COVID-19 outbreak has pressed many factors to multiples far outside of their historical averages. To illustrate this dispersion, the table below lists 12 of the most common style factors used by investors and ranks them based on the number of standard deviations that last month’s performance represented compared to their 10-year average (Jan 2010 – Jan 2020).
Factor Movements that are Creating Investment Opportunities in the Current Market
As the markets exhibit less and less rational behaviors, a golden opportunity may be in store for investors who track recent factor movements. When looking at their particular universe of stocks, investors should ask themselves, how much of recent moves are fundamentally-driven, and how much are non-fundamental? This environment seems ripe with potential arbitrage opportunities that they can dig deeper into.
We encourage you to look at your own portfolios and highlight names that look like they have moved for non-fundamental reasons. If you would like to have Omega Point help you perform a similar analysis, please reach out to us.
US & Global Market Summary
US Market: 3/27/20 - 4/02/20
Factor Update: Axioma US Equity Risk Model (AXUS4-MH)
Factor Update: Axioma Worldwide Equity Risk Model (AXWW4-MH)
Please let us know if you’d like to better understand and manage your exposure to these factors as we prepare for another week of volatility. We hope that you and your loved ones remain healthy and safe.