Omega Point Blog

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...

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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.

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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...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

A Tour De Beta Across Sector SPDRs

November 22, 2020
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Chris Martin
Chris Martin

A Tale of Two Betas

October 04, 2020
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Chris Martin
Chris Martin

Managing Your Portfolio in an Extreme US Factor Environment

March 29, 2020
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Omer Cedar
Omer Cedar

Diving Deeper into Runaway Beta: The Changing Characteristics of Key Industries

March 22, 2020
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Omer Cedar
Omer Cedar

Inoculating Against Runaway Beta

March 15, 2020
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Omer Cedar
Omer Cedar

What's Driving Volatility & Beta?

April 07, 2019
In light of the substantial rally in the US market over the past week, we'll be refocusing our attention on our US model in order to see how the key Volatility and Market Sensitivity factors have behaved. We'll also attempt to identify what's been driving these factors by decomposing their underlying long and short components.
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Omer Cedar
Omer Cedar

Where's the Ceiling for volatility & Beta?

January 27, 2019
Never a dull week, even with the market taking a day off on Monday. With Volatility and Market Sensitivity both at “Extremely Overbought” levels, we'll take another look at these factors in a historical context to better understand where they are in relation to the market recoveries of 2009 and 2016. US Market In an abbreviated week, uncertainty from the government shutdown...
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Omer Cedar
Omer Cedar