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Omega Point Blog

Reflections On Quantamental Investing

Factor Returns

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

April Factor Returns

May 11, 2017

April started out on a bearish note, but after various geopolitical risks subsided, the month ended with market indices skyrocketing. The Nasdaq made record highs with help from Microsoft, Google, Amazon and Facebook. Crude oil returns were the inverse of the market, rising into the middle of the month on geopolitics and hopes of OPEC cuts, but falling afterwards.

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Omega Point Factor Lab
Omega Point Factor Lab

March Factor Review

April 14, 2017

March was a month of stalling markets. Sometimes, a stall can be useful for managers. Rising markets may lift all boats, but a small break can be helpful for professional managers running strategies with a beta of less than one to public equities.

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Omega Point Factor Lab
Omega Point Factor Lab

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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Omega Point Factor Lab
Omega Point Factor Lab

January Factor Review

February 14, 2017

We hope that the new year has treated you well so far.

The first month of 2017 was a bullish one, more so for tech investors than for the broader market. The rally was helped by expectations that there wouldn't be quite as many Fed hikes as were priced in at the end of 2016, and the US dollar also saw a reversal after strengthening against many currencies in 2016. Apart from Estimate...

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Omega Point Factor Lab
Omega Point Factor Lab

2016 Factor Review

January 03, 2017

Happy New Year!

The end of one year and the start of another is always a time of introspection and reflection. In this case, we would like to apply that introspection to the factors that we help our clients track. We'll lead with what most investors are interested in - headline performance - and then revisit specific instances that could benefit from extra reflection.

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Omega Point Factor Lab
Omega Point Factor Lab

November Factor Returns

December 06, 2016

Continuing our series on monthly factor returns, here is a summary for November.

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Omega Point Factor Lab
Omega Point Factor Lab