Over the past several months, we've introduced Extreme Movers, the latest tool in our arsenal to understand what is driving markets from week to week. We also 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 to...
Factors Take the Stage Driven by Beta and China
August 07, 2022Before we begin, I wanted to remind our readers that time is running out to register for our webinar with Wolfe Research this Tuesday, August 9 at 11:30 am ET: Next-Level Hedging using Wolfe Research's Sector Models in Omega Point. Please check out the link for more information and to sign up; we hope to see you there!
Beta Sparks a Strong Week in the US Market
July 24, 2022Over the past several weeks, we've introduced Extreme Movers, the latest tool in our arsenal to understand what is driving markets from week to week. We also 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 to...
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 Takedown of Megacap Tech in Benchmarks
June 13, 2021Before 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 23...
Is Concentration Driving Beta Mad?
June 06, 2021In 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.
Honey, I Shrunk the Beta
May 23, 2021Investors 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 a...
