Omega Point Blog

Watch the Tails: Expanding our Macro Detection Palette

May 09, 2021

Last week, we delved into ‘when’ macro matters by using the Axioma Macro Projection Model to identify historical periods when macro factors drove US equity volatility. This approach highlighted the Sovereign Debt Crisis in 2012 and the COVID market downturn as periods when macro factors became the leading contributors to volatility in the Russell 1000 Index. We also observed evidence of macro...

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Kevin Wahlberg
Kevin Wahlberg

Marrying Macro and Fundamental Models

May 02, 2021

Hi there,

Last week, we established that Macroeconomic factors appear to show a meaningful explanatory power over sectors such as Energy, Financials, and Real Estate. We concluded our analysis by noting that incorporating macro factors into the investment process shouldn’t be disruptive, but can actually be supportive. This week, we continue our examination to demonstrate how both macro &...

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Chris Martin
Chris Martin

Macro Matters, Even for Fundamentalists

April 25, 2021

Fundamental and macro-oriented strategies have traditionally been separate and distinct styles of investing. Fundamental managers take a bottoms-up approach to identify companies that they believe are poised for future success or failure while macro managers employ more of a top-down view to isolate broader economic trends and then select those stocks which stand to be most impacted.

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Kevin Wahlberg
Kevin Wahlberg

Identifying Crowded Names — Q2 2021 Earnings Season

April 18, 2021

This week we revisit a popular Factor Spotlight topic as we head into the thick of Q2 2021 earnings season. With a market bracing for a procession of earnings announcements, we will explore the various forms of crowding measures to better understand what names are most vulnerable to systematic pressures stemming from concentrated holdings across the investment management landscape. Before we...

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Kevin Wahlberg
Kevin Wahlberg

Clean Infrastructure through Industrials-Colored Glasses

April 11, 2021

The focus on improved US infrastructure has lingered at center stage this week, as the business and investment worlds continue to weigh in on the pros and cons of President Biden’s proposed $2 trillion American Jobs Plan. Though the plan has faced much criticism in Congress, there are still ambitious efforts underway to get a clean infrastructure bill passed by the end of the summer.

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

The New Frontier: Investments in Clean Infrastructure

April 04, 2021

This past week on March 31, the Biden Administration announced the American Jobs Plan, which proposes a $2 trillion plan to invest in US infrastructure. The plan highlights several areas of public investment designed to address the climate and racial inequities that have arisen in part due to an aging national infrastructure and lack of focus on research & development. If passed, the proposed...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Turning Analysis into Action: Hedge Baskets for Momentum Flow

March 28, 2021

In our prior two Factor Spotlights, Who’s Going With the (Momentum) Flow? and Is Momentum Flow Riding the Interest Rate Rollercoaster?, we have explored and analyzed the themes of momentum rotation and interest rates. Based on the many inquiries and portfolio evaluation requests we’ve received since we first published on these topics, we’re encouraged that so many in the investment community...

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Kevin Wahlberg
Kevin Wahlberg

Is Momentum Flow Riding the Interest Rate Rollercoaster?

March 21, 2021

My name is Kevin Wahlberg, Product Specialist at Omega Point, and I’m excited to make my Factor Spotlight debut this week as we continue our series on the impending momentum rotation. As we wrote in last week’s Factor Spotlight - and as was highlighted in a recent Bloomberg article - a historic, pandemic-related systematic strategy rebalance is expected to lead to a significant momentum...

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Kevin Wahlberg
Kevin Wahlberg

Who’s Going With the (Momentum) Flow?

March 14, 2021

There has been a great deal of buzz among investors about a likely leadership change in momentum as we near the one-year anniversary of the market trough during the pandemic-induced downturn. As Bloomberg notes, the $2 trillion world of quantitative investing will have a potentially market-moving rebalance coming up over the next several weeks for momentum-based strategies that rely on the...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Financials: a Hidden Gem for Value Investors?

March 07, 2021

Value investing may have spent the last decade on the sidelines of the broader bull market, but Financials are an exception. This week, we pivot back to our spotlight on Wolfe Research’s sector-focused risk models and uncover some astounding factor premia that have been driving the Financials space.As we’ve noted in our recent posts on the Wolfe US Energy and Wolfe US TMT models, sector models...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA