Omega Point Blog

Market Sensitivity

The Takedown of Megacap Tech in Benchmarks

June 13, 2021

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...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Is Concentration Driving Beta Mad?

June 06, 2021

In 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.

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Honey, I Shrunk the Beta

May 23, 2021

Investors 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...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

A Tale of Two Betas

October 04, 2020
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Chris Martin
Chris Martin

Overbought/Oversold Factors Around the World

June 23, 2019

We’ve spent the past couple of weeks focusing on Momentum and Growth (both of which are continuing to revert to the mean on a normalized basis). Today, we’re going to pull back the lens and examine factor trends in our US and Worldwide models, in order to identify some other themes that are playing out right now.

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Omer Cedar
Omer Cedar

Comparing Factor Performance in a Global vs. US Model

March 03, 2019
Typically, the factor trends that we observe in Factor Spotlight are based on our US model. This week, we'll be introducing our worldwide model by taking a look at how some of the major factors have behaved on the global level, compared to what we're seeing in the US.
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Omer Cedar
Omer Cedar

Factor Spotlight: EOY 2018

December 23, 2018

With the next issue to be published in January, the entire Omega Point team and I would also like to take this opportunity to wish you a peaceful holiday season and New Year filled with happiness and prosperity.

As noted last week, you can now access all past issues of Factor Spotlight on our website, and in this issue we have compiled a list of the top 5 most popular Factor Spotlights of...

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Omer Cedar
Omer Cedar

Market Sensitivity Update

June 01, 2018

In 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.  

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Omer Cedar
Omer Cedar

Market Sensitivity

May 25, 2018

This 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. 

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Omer Cedar
Omer Cedar