Omega Point Blog

Identifying Crowded Names - Q2 2021 Earnings Season

August 01, 2021

Before 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.

Read More
Alyx Flournoy, CFA
Alyx Flournoy, CFA

Getting a Grip on Volatility

July 25, 2021

In 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...

Read More
Kevin Wahlberg
Kevin Wahlberg

The Factor Signature of Volatility

July 18, 2021

Volatility 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.

Read More
Alyx Flournoy, CFA
Alyx Flournoy, CFA

Is Volatility’s Reign Coming to an End?

July 11, 2021

Volatility 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.

Read More
Alyx Flournoy, CFA
Alyx Flournoy, CFA

The ‘Short’ Story on Short Interest

June 27, 2021

In 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...

Read More
Kevin Wahlberg
Kevin Wahlberg

Introducing S3 Partners’ Short Interest Data to the Omega Point Platform

June 20, 2021

Before we dive in to this week’s topic, I want to remind our readers that there’s still time to register for our joint webinar with Qontigo on June 23 titled: Macro Matters, Even for Fundamental Managers, and we hope that you can join us. Now on to this week’s coverage. With today’s turbulent markets, the rise (and often subsequent fall) of the “meme stock,” and retail crusaders stepping into...

Read More
Alyx Flournoy, CFA
Alyx Flournoy, CFA

The Takedown of Megacap Tech in Benchmarks

June 13, 2021

Before we jump into this week’s conclusion to our three-part beta series, I want to briefly veer back to an earlier topic I had covered during our recent macro series, which generated many positive comments and feedback from our readers. For those of you who would like to continue your macro explorations, my colleague Kevin Wahlberg will be co-presenting at a joint webinar with Qontigo on June...

Read More
Alyx Flournoy, CFA
Alyx Flournoy, CFA

Is Concentration Driving Beta Mad?

June 06, 2021

In our last Factor Spotlight, we delved into the recent behavior of beta to understand why this measure has been less useful in helping investors hedge market risk. We highlighted the apparent de-coupling of beta from the general market based on the decreasing correlation of the Beta factor return to the Market factor return using US and global equity risk models from Axioma and MSCI Barra.

Read More
Alyx Flournoy, CFA
Alyx Flournoy, CFA

Honey, I Shrunk the Beta

May 23, 2021

Investors often look to good ol' beta as the tried and true mechanism for hedging market risk in their portfolios. However, many have noted that lately, beta feels “broken”.

Hedging beta no longer seems to have the desired effect of mitigating risk in portfolios, and in fact, investors who have tried to hedge beta in 2020 and 2021 will have found major headwinds as the beta factor took off on...

Read More
Alyx Flournoy, CFA
Alyx Flournoy, CFA

Momentum: One Size Does Not Fit All (Sectors)

May 16, 2021

If you want to hedge momentum, just go short Info-Tech and long Energy, correct?

Actually, not so fast.

This strategy may have been somewhat effective in prior markets; however in today’s market, the efficacy of this type of hedging strategy has been rapidly unraveling.

We can see this clearly by looking at the Momentum exposure, using the Wolfe Research QES US Broad risk model of QQQ vs....

Read More
Alyx Flournoy, CFA
Alyx Flournoy, CFA