Before we jump into this week’s conclusion to our three-part beta series, I want to briefly veer back to an earlier topic I had covered during our recent macro series, which generated many positive comments and feedback from our readers. For those of you who would like to continue your macro explorations, my colleague Kevin Wahlberg will be co-presenting at a joint webinar with Qontigo on June...
Is Concentration Driving Beta Mad?
June 06, 2021In our last Factor Spotlight, we delved into the recent behavior of beta to understand why this measure has been less useful in helping investors hedge market risk. We highlighted the apparent de-coupling of beta from the general market based on the decreasing correlation of the Beta factor return to the Market factor return using US and global equity risk models from Axioma and MSCI Barra.
Honey, I Shrunk the Beta
May 23, 2021Investors often look to good ol' beta as the tried and true mechanism for hedging market risk in their portfolios. However, many have noted that lately, beta feels “broken”.
Hedging beta no longer seems to have the desired effect of mitigating risk in portfolios, and in fact, investors who have tried to hedge beta in 2020 and 2021 will have found major headwinds as the beta factor took off on...
Market Sensitivity Update
June 01, 2018In last week's Factor Spotlight, we discussed how the Market Sensitivity (Beta) factor was being flagged as Overbought and appeared to be reaching an inflection point. I wanted to quickly follow up as the factor has indeed seen a sell-off on both a cumulative and normalized basis in the global and US markets.
Market Sensitivity
May 25, 2018This week, I wanted to highlight the Market Sensitivity (Beta) factor as our Factor Profile tool currently has it flagged as Overbought in both the US and the broader global market.