Months after the “Meme Stock” and retail events of early 2021, fears of short squeezes resulting in massive losses are still very much on investors’ minds. Crowding among particular industries and individual stocks, combined with continued market volatility and increased retail investing, has maintained the conditions that have allowed more and more squeeze events to occur.
Telling a Sector Story of Growth vs. Value
November 14, 2021In last week’s Factor Spotlight, we revisited the Growth vs. Value debate. We highlighted the factor and sector drivers that characterized the 2021 rotation that has seen Growth fall out of favor and Value come back into style. Of course, the Growth vs. Value story has been a prevalent story for investors for quite some time, but why is it necessary to consider these themes today?
The Battle Between Growth and Value
November 07, 2021Before we kick off, I wanted to let you know that the latest issue of Regius Magazine features an article from Omega Point on “Improving Tax-Aware Performance Through Better Substitutions.” You can find us on p.74, and I encourage you to check out the rest of the excellent coverage, which focuses on Crypto, ESG, and Sustainability.
The last two times we highlighted the relationship between...
Dissecting the Q3 2021 Momentum Rally
October 31, 2021The Momentum factor tends to be top-of-mind for factor practitioners in all markets, but it has been particularly tough to take the eye off of Momentum in 2021. The last time we spotlighted Momentum, we pointed to the beginning of a transition in the makeup and characteristics of Momentum stocks. Because Medium-Term Momentum is typically a measure of a stock’s trailing twelve-month return,...
Is “Oil Risk” Making a Comeback?
October 24, 2021Talks of an impending oil crisis have been making headlines over the past several weeks. Some argue that the “impending” crisis is already here, while others believe the worst is yet to come. The economic reopening has exposed major oil shortages, which has spurred oil prices to go on the run in tandem with increased global demand. These conditions, coupled with the global supply chain...
Identifying Crowded Names - Q3 2021 Earnings Season
October 17, 2021Crowding continues to be a popular topic of conversation among investors. Crowded stocks can exhibit exacerbated pricing pressure when material information reaches the market. In addition, earnings releases can increase price volatility, making earnings a strong catalyst for crowded names.
Stress Testing a Global Evergrande Shock
October 10, 2021China Evergrande’s liquidity issues continue to stir up fears among investors of a localized downturn that could send shockwaves across global markets. Plans by Hopson Development Holdings to acquire a 51% stake in Evergrande could provide at least some short-term wiggle room for the company to remedy its cash flow problems. Even if this proves to be a lifeline to Evergrande, there’s already...
Could Evergrande Create a Global Domino Effect?
October 03, 2021China has been lighting up the news outlets lately with news of crypto crack downs and general regulatory tightening. However, another story has been brewing around China Evergrande and the potential ripple effects on the global economy from Evergrande’s impending default on portions of its $300+ billion in liabilities.
Is There Capacity in the Alpha Opportunity Ratio?
September 26, 2021Over the past couple weeks, we’ve spent time analyzing what pockets of the market offer the most alpha opportunity for active managers. We found that the alpha opportunity ratio can be a useful metric to understand when and where managers have higher opportunity to align portfolio risk with their alpha ideas. This week, we’ll wrap up this analysis by using the alpha opportunity ratio in a...
Building Intuition Around the Alpha Opportunity Ratio
September 20, 2021In last week’s Factor Spotlight, we introduced the notion of the diversification ratio as a way to quantify the degree of diversification opportunity across a universe of securities. Using this metric, we analyzed the level of diversification available across various segments of the US market.This week, we continue our analysis by highlighting the application of this ratio and offering a...