Alpha and diversification have been especially elusive since the start of the pandemic in early 2020. As we’ve discussed previously, common systematic factors grab a tighter hold of stocks during periods of market stress, and assets begin to get pushed in a much more correlated fashion. So, to supplement our research on the return of alpha opportunity in the market, we will explore...
Ripple Effects of the Infrastructure Bill
August 29, 2021The buzz continued around the $1 trillion US infrastructure bill this week, as the bill faced unexpected rocky roads in the House. However, the House was able to clear a path for the bill and now targets a vote on Sept 27. Though there is still uncertainty around the bill’s final details, it feels clear that the focus on infrastructure spending, along with an emphasis on sustainability and...
Infrastructure Spending: How Much Juice for Clean Energy & the Grid?
August 22, 2021Before we jump into this week's topic, I wanted to mention that my colleague and ace Factor Spotlight author, Alyx Flournoy, is featured in a just-released video from Qontigo that highlights its partnership with Omega Point. In addition, Alyx briefly demonstrates how to analyze a portfolio on the Omega Point platform using the new Axioma Global Macroeconomic Projection model, which quite...
Is the Overheating Economy Cooking Your Portfolio?
August 15, 2021This past week saw interesting and polarizing news, as the CPI and PPI releases yielded mixed feelings in the market. CPI rose 0.5%, which CNBC noted was in line with expectations based on the consensus from economists surveyed by Dow Jones, and Core CPI came in lower than expectations, rising only 0.3%. However, as outlined by MarketWatch, PPI jumped up higher than expected, rising by 1%...
The Return of Alpha
August 08, 2021From the onset of the COVID pandemic through much of the year 2020, we saw the deterioration of alpha-driven stocks as common, systematic factors dictated performance. So this week, we’ll revisit a question we last posed at the beginning of the year: “Where’s the Alpha?”. Have opportunities for idiosyncratic, stock-specific outperformance returned? If so, where can we look to find it?
Identifying Crowded Names - Q2 2021 Earnings Season
August 01, 2021Before we dive into this week's topic on crowding, I wanted to let you know that a recording of our joint webinar with Qontigo: Macro Matters, Even for Fundamental Managers is now available to view on our website in case you missed the live webinar. We hope that you enjoy it.
Getting a Grip on Volatility
July 25, 2021In our last two editions of Factor Spotlight, we explored volatility’s unprecedented post-COVID rally as well as its recent hints at renormalization. As the dust continues to settle, there are strong indications that suggest that low volatility stocks are coming back into favor while high volatility stocks might take a back seat. During this transitionary period, we have seen quite a bit of...
The Factor Signature of Volatility
July 18, 2021Volatility continues spiraling downwards as the factor seemingly marches back to the beat of its old drum. As we highlighted in last week’s Factor Spotlight, Volatility spent almost the whole of 2020 skyrocketing with positive performance; however, performance since February 2021 would show that the factor may be coming back down to earth.
Is Volatility’s Reign Coming to an End?
July 11, 2021Volatility has spent almost the whole of 2020 terrorizing investor portfolios as it soared on a rocket ship of positive performance. From January 2020 to its peak in February 2021, we saw this factor rise by almost 20% on a cumulative basis.
The ‘Short’ Story on Short Interest
June 27, 2021In last week's edition of Factor Spotlight, we introduced our new partnership with S3 Partners along with the availability of S3's market-leading Short Interest, Crowding, and Securities Finance datasets on the Omega Point Platform. This week, we leverage this highly actionable dataset to glean more insight into the short interest landscape and highlight methods to help improve market...