Omega Point Blog

Reflections On Quantamental Investing

How to get Defensive With Your Portfolio

October 24, 2018

Last week, we discussed how much the market's recent drawdown was driven by a factor rotation away from the cyclical factors (Volatility, Market Sensitivity, & Momentum) and into the more defensive factors of Size, Value, & Profitability. Though we've seen a market bounceback in the past week, movements continue to be heavily correlated with the factor rotation, as shown below.

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Omer Cedar
Omer Cedar

Revisiting Oil & Gas, and Value

June 08, 2018

In our May 11th Factor Spotlight, we highlighted that the Oil & Gas sector and Oil commodity factors were being flagged as Overbought in both our US and Macro models. We also discussed the potential readthrough to the Value factor, which was the most correlated factor to Oil & Gas at the time. 

In the intervening weeks, these factors have seen a sharp selloff on a cumulative and normalized...

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Omer Cedar
Omer Cedar

Momentum & Sector Correlation

April 20, 2018

Over the past several weeks, we've watched normalized factor return for Medium-Term Momentum revert from a peak of +1.97 standard deviations above the mean to -0.81 SD below the mean on April 19th, with a curve that appears to be gradually flattening. 

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Omer Cedar
Omer Cedar

Hedging Factors with ETFs

May 19, 2017

As we've discussed in previous blogs, there are various reasons why portfolio managers need to monitor and adjust the factor risk of their portfolio. Much of the time, it's prudently done to avoid unknown or unintended exposures. Other times, the emergence of a new factor risk in a portfolio can be evidence of style drift that a PM doesn't want. Sometimes, a manager has a macro view that leads...

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Omega Point Factor Lab
Omega Point Factor Lab