Please 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...

A Tour De Beta Across Sector SPDRs
November 22, 2020
Building upon a previous issue of Factor Spotlight": "A Tales of Two Betas", this week we return to the concept of Beta as a basic analytic measuring risk relative to the broad market. Omega Point now incorporates third-party risk model Betas for both reporting and portfolio construction purposes (but never fear, if you have your own beta calculation you would prefer to measure/manage,... |

A Tale of Two Betas
October 04, 2020 Before we dive into this week’s 'Tale of Two Betas', I’d like to take this opportunity to invite you to join Omega Point this Tuesday at 11:30am ET for the kick-off webinar in our 4-Part “Best Practices in Hedging" Series: Creating Custom Hedge Baskets. With sky high market uncertainty forcing practitioners to reexamine their risk management practices, this shapes to be a timely and... |

Managing Your Portfolio in an Extreme US Factor Environment
March 29, 2020
We continue to hope that you and your loved ones remain healthy and safe as we all adopt the new norm of staying sheltered in place.Thanks to all of you who were able to tune in for the webinar that we held with Qontigo (Axioma), we appreciated the strong showing and thought-provoking questions. If you missed it, you can find the recorded webcast and handouts here: Managing Your Portfolio... |

Diving Deeper into Runaway Beta: The Changing Characteristics of Key Industries
March 22, 2020
We hope you’ve been weathering our new shared reality of extreme market volatility and social isolation, and that you and your loved ones remain healthy and safe. Today, we’ll revisit last week’s topic of “Runaway Beta“ ahead of a joint webinar that we’ll be hosting alongside our partners at Qontigo (Axioma) this Wednesday (US) and Thursday (EMEA) entitled: Managing Your Portfolio in an... |

Inoculating Against Runaway Beta
March 15, 2020
Today we’re going to discuss a key trend in the Beta factor that has heavily impacted investor portfolios during the turbulence of the past few weeks. This is the dominant factor to keep an eye on as we’re seeing significant polarization in company exposure to Beta, resulting in a phenomenon that has hurt investors as the market both falls and rises. We’ll elaborate further on “Runaway... |

What's Driving Volatility & Beta?
April 07, 2019