Omega Point Blog

Hedging

ETFs Hedging Volatility 2019 Technology

Building a Smarter Tech Hedge

November 03, 2019

Over the past couple of weeks, we’ve discussed the benefits of using a smarter hedge basket vs. the standard and ubiquitous ETF hedges that most portfolio managers use to some extent. Most recently, we built a higher Volatility basket out of the SPY constituents, through which a manager could have made an incremental +5.68% return per year over the traditional SPY hedge.

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Omer Cedar
Omer Cedar

Hedging Volatility 2019 SPY

Building a Superior SPY Hedge

October 27, 2019

Last week, we discussed the significant drawbacks of using the S&P 500 SPDR (SPY) as a market exposure hedge. We established that 1) the SPY hedge is wildly common among the institutional investment community (40% of the SPY’s AUM is short interest), and 2) it carries an inherent long bet on Volatility - a negative premia factor that’s down 32% over the past five years.

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Omer Cedar
Omer Cedar

Hedging Volatility 2019 SPY

The Inherent Volatility of a SPY Hedge

October 20, 2019

This week we’ll be kicking off a series on “smart hedging,” by which we aim to find a more efficient and elegant solution to hedging market exposure in your portfolio. We’ll also provide our weekly market and factor update.

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Omer Cedar
Omer Cedar

ETFs 2018 Market Selloff Hedging

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
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