Omega Point Blog

Reflections On Quantamental Investing

Momentum Inflecting

September 21, 2018

For the past few weeks, we've been closely following Medium-Term Momentum as it sharply climbed into Overbought territory. While we've talked about this factor a lot recently, it's been a very active signal in both our US and Global models, and we're now observing that Momentum is currently at an inflection point.

As a reminder, we define Medium-Term Momentum as cumulative return over the...

Read More
Omer Cedar
Omer Cedar

Factor Spotlight: Momentum Update

September 07, 2018

I hope you've been having a great summer. While factor movement has been relatively quiet this season, we're now seeing the emergence of signal for Medium-Term Momentum factor in both the US and Global models. Usually, when we see this type of movement in both models, it makes for a much stronger signal. 

The last time we discussed Momentum on July 12th, we had flagged it as "Oversold" as it...

Read More
Omer Cedar
Omer Cedar

Dividend Yield & MTM Update

July 26, 2018

Here are a couple of quick updates on some factors that we've discussed in recent weeks.Dividend Yield / Growth Update Last week, we highlighted the Dividend Yield factor in our US model.

  • At the time, our Factor Profile tool had isolated it as being “Extremely Oversold” at -2.24 standard deviations below the historical mean on a normalized basis.
  • Today, this factor sits at -2.31 SD below the...
Read More
Omer Cedar
Omer Cedar