Omega Point Blog

Beta Market Sensitivity 2020

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...

Chris Martin

Beta 2020 Coronavirus

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...

Omer Cedar

Beta 2020 Coronavirus

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...

Omer Cedar

Beta 2020 Coronavirus

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...

Omer Cedar

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