Today we’re going to discuss a key trend in the Beta factor that has heavily impacted investor portfolios during the turbulence of the past few weeks. This is the dominant factor to keep an eye on as we’re seeing significant polarization in company exposure to Beta, resulting in a phenomenon that has hurt investors as the market both falls and rises. We’ll elaborate further on “Runaway...
Today, we’re going to wrap up our series on Value in the real-life context of a massively volatile and beaten down market. We’d like to start by noting that after the turbulence of the past few weeks, our Global Market factor is flagged as “Extremely Oversold” at -2.9 standard deviations below the mean:
This weekly blog, Factor Spotlight, looks to bringissues to our readership that help to give them an edge – whether it is through fresh insights in the market or new ways to use our Omega Point tool to analyze and manage their portfolios.As the markets have been roiled by losses stemming from concerns around COVID-19’s impact on the global economy, we wanted to provide an update on...
This weekly blog, Factor Spotlight, looks to bringissues to our readership that help to give them an edge – whether it is through fresh insights in the market or new ways to use our Omega Point tool to analyze and manage their portfolios.Timeliness is also key. Last week we initiated a multi-part analysis into Value, observing how the factor has performed since 1997 and...
This weekly blog, Factor Spotlight, looks to bringissues to our readership that help to give them an edge – whether it is through fresh insights in the market or new ways to use our Omega Point tool to analyze and manage their portfolios. Timeliness is also key. We focused on Geopolitical Risk for the last three issues — including the ever-evolving coronavirus story that has...
In the two weeks since we initiated our multi-part investigation of the Geopolitical Risk Factor (GRF), a distressing escalation in cross-border coronavirus cases is raising alarms and prompting swift action as nations scramble to avert a potential global health crisis. Our thoughts go out to those impacted and to the well being of all global citizens. Meanwhile, this situation...
Last week, we introduced the Geopolitical Risk Factor (GRF) and analyzed its performance over the past three years. This week, we decompose this factor into its sector exposures in order to assess whether any specific sectors are associated with positive or negative movements in the factor.
Throughout 2019, geopolitics and trade conflicts were a fixture in the news. Now, as we near the end of the first month of 2020, there remain a number of geopolitical storylines that have yet to play out. These include the contentious Trump impeachment trial and November elections, ongoing turmoil in the Middle East (punctuated by the skirmish with Iran in early January), and...
One of our more popular Factor Spotlights of 2019 centered around hedge fund crowding. As we head into another earnings season, we wanted to revisit the topic as it pertains to a few key industries.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:
We’ve been receiving a lot of good feedback on our alpha-driven series, including last week’s dissection of alpha trends at the Industry Group (GICS2) level since Jan 2018. To wrap up our alpha trends series, we’ll pull the lens back to perform more of a longitudinal study, so we can get an understanding of how these industry trends have played out since 2007.We’ll also provide our...
