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...
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...
