Omega Point Blog

Diversification

Is There Capacity in the Alpha Opportunity Ratio?

September 26, 2021

Over the past couple weeks, we’ve spent time analyzing what pockets of the market offer the most alpha opportunity for active managers. We found that the alpha opportunity ratio can be a useful metric to understand when and where managers have higher opportunity to align portfolio risk with their alpha ideas. This week, we’ll wrap up this analysis by using the alpha opportunity ratio in a...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Building Intuition Around the Alpha Opportunity Ratio

September 20, 2021

In last week’s Factor Spotlight, we introduced the notion of the diversification ratio as a way to quantify the degree of diversification opportunity across a universe of securities. Using this metric, we analyzed the level of diversification available across various segments of the US market.This week, we continue our analysis by highlighting the application of this ratio and offering a...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Where is Diversification Hiding?

September 12, 2021

Alpha and diversification have been especially elusive since the start of the pandemic in early 2020. As we’ve discussed previously, common systematic factors grab a tighter hold of stocks during periods of market stress, and assets begin to get pushed in a much more correlated fashion. So, to supplement our research on the return of alpha opportunity in the market, we will explore...

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Kevin Wahlberg
Kevin Wahlberg