Over the last month, we've introduced Extreme Movers, the latest tool in our arsenal to understand what is driving markets from week to week. Two week's ago, we debuted an international version of the Extreme Movers portfolio to help investors compare fluctuating alpha opportunities and factor-driven dynamics between the US and the world. The Extreme Movers portfolios allow us to apply hindsight...
Rate Hikes and Recession Fears Grip Markets
June 19, 2022Over the last few issues of Factor Spotlight, we've introduced Extreme Movers, the latest tool in our arsenal to understand what is driving markets from week to week. Last week we debuted an international version of the Extreme Movers portfolio to help investors compare fluctuating alpha opportunities and factor-driven dynamics between the US and the world. The Extreme Movers portfolios allow us...
US and International Markets Show Consistent Reaction to Uncertainty
June 12, 2022Before we jump into this week's Extreme Movers, I wanted to let you know that Omega Point's CEO Omer Cedar and I will be attending the S3 AIR Summit this Monday, June 13, at the NYSE to present "Data-Driven Superpowers for Institutional Investors." For those of you who will be in attendance, we hope to see you there.
Now on to this week's main course...
Over the last few issues of Factor...
Increased Alpha Opportunity Amid Continued Risk-On/Risk-Off Sentiment
June 05, 2022In the last issue of Factor Spotlight, we introduced the latest tool in our arsenal to understand what is driving markets from week to week. The Extreme Movers portfolio allows us to apply hindsight to the prior week's momentum to understand the following key questions better:
- Was the preceding week an alpha-driven or factor-driven week?
- What are the factor characteristics of the stocks that...
Capturing Weekly Trends through our Extreme Movers Portfolio
May 22, 2022This week we place a brief pause on our Surprise Metrics analysis to introduce the Extreme Movers portfolio, another method that can help investors augment their understanding of what is transpiring in the markets. But for those of you who have been closely following the Surprise Metrics over the past several months, no worries; updated tables and our analysis will resume on Jun 4, following a...
A Market Flight to Quality
May 15, 2022Please see our Market Summary and Omega Point's Top Surprise Factors of the week below.The Surprise Metrics measure each factor's return divided by its predicted standard deviation. On a trailing one-week basis and since the invasion on Feb 24, we continue to see multiple standard deviation moves across a broad number of factors that continue to shift each week and are a unique indicator of the...
The Fed Sparks Panic in the Equity Markets
May 08, 2022Please see our Market Summary and Omega Point's Top Surprise Factors of the week below.
Investors Signal a Risk-Off Environment
May 01, 2022Please see our Market Summary and Omega Point's Top Surprise Factors of the week below.
The Surprise Metrics measure each factor's return divided by its predicted standard deviation. On a trailing one-week basis and since the invasion on Feb 24, we continue to see multiple standard deviation moves across a broad number of factors that continue to shift each week and are a unique indicator of the...
Macro Holds Onto Its Grip Over Global Equity Markets
April 24, 2022Please see below for our Market Summary and Omega Point’s Top Surprise Factors of the week.
Markets Feel Supply Chain Woes and Commodity Price Pressures
April 17, 2022Please see below for our Market Summary and Omega Point’s Top Surprise Factors of the week.
The Surprise Metrics measure each factor's return divided by its predicted standard deviation. On a trailing one-week basis and since the invasion on Feb 24, we continue to see multiple standard deviation moves across a broad number of factors that continue to shift each week and are a unique indicator of...