Omega Point Blog

Beta Volatility FMP 2019

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.

Omer Cedar

Beta Volatility 2019

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...

Omer Cedar

Beta Profitability Volatility 2019

Profitability Lags While Beta & Volatility See Continued Strength

January 20, 2019

This week saw strong market performance amid a cascade of political and economic headlines. Here's an update on the factor story that we continue to find of most vital importance - the interplay between Volatility, Market Sensitivity, and Profitability as it relates to a sustained market recovery.US Market

Our US Market factor (99% correlated to the S&P 500) continued its upwards...

Omer Cedar

Beta Profitability Volatility 2019

Volatility & Beta Up Big While Profitability Slowly Recovers

January 13, 2019

This week brought with it some mixed news, between the potential jobs impact stemming from the government shutdown, increased optimism over US-China trade, and recent comments from the Fed about the need for “patience”. With regard to factors, we're seeing signals that indicate that we're in the midst of a return to a “risk-on” environment, with Volatility and Market Sensitivity both...

Omer Cedar

Value Beta 2018 Profitability Market Selloff Earnings Yield

Value vs Earnings Yield

December 02, 2018

I hope those of you in the US enjoyed Thanksgiving weekend with your families while we took a brief hiatus from Factor Spotlight. This week, we'll provide an update on some factors we've been tracking for the past few weeks, as well as dig into an interesting phenomenon that we're observing in the relationship between Earnings Yield and Value.

Omer Cedar

Beta 2018 Profitability Market Selloff Volatility

Risk-Off is back in Demand

November 18, 2018

Thanks to all who braved the weather to attend the Learn2Quant conference in New York on Friday. For those unable to make it, I'll share the slides from my presentation on "How to be Factor Aware” once they're available.

Omer Cedar

Beta 2018 Profitability Market Selloff Short Squeeze Volatility

Short Squeeze or Sustainable Rebound

November 04, 2018

This week's market rally has resulted in pundits pointing towards a recovery due to better-than-expected corporate earnings and a softening of the trade war between the US and China. In our conversations with clients, we're hearing a lot of speculation about whether or not this is a legitimate bounce in the market or simply a short squeeze in the wake of the broad selloff of the past several...

Omer Cedar

Beta 2018 Market Sensitivity

Market Sensitivity Update

June 01, 2018

In last week's Factor Spotlight, we discussed how the Market Sensitivity (Beta) factor was being flagged as Overbought and appeared to be reaching an inflection point. I wanted to quickly follow up as the factor has indeed seen a sell-off on both a cumulative and normalized basis in the global and US markets.

Omer Cedar

Beta 2018 Market Sensitivity

Market Sensitivity

May 25, 2018

This week, I wanted to highlight the Market Sensitivity (Beta) factor as our Factor Profile tool currently has it flagged as Overbought in both the US and the broader global market.

Omer Cedar

S&P 500 Factor Returns 2017 Beta

February Factor Review

March 14, 2017

2017's bull market continued in February, with Dividend Yield being the month's standout factor. The low volatility factor’s positive return in an up month is also quite notable. Even low beta stocks, which are expected to underperform when markets are up significantly, were basically flat. Book/Price was the laggard this month. And Momentum, the best performing factor in the latter half of...

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