Omega Point Blog

Momentum

Momentum Update

September 22, 2019

This week we’ll check back in on Medium Term Momentum after last week’s crash, which we initially discussed last Wednesday in our Midweek Flash Report.

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Omer Cedar
Omer Cedar

Factor Spotlight: This Week's Market & Factor Update

September 15, 2019

We hope you had a chance to read this past Wednesday’s Special Factor Spotlight Flash Report on the growing fallout in momentum. This trend continues unabated into this edition, and as you can see in the tables below, momentum finished the week with the largest decline in both the US and Worldwide factor models. We plan to resume our ESG coverage next week, but in the meantime we...

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Omer Cedar
Omer Cedar

Factor Spotlight Flash Report: Peeling the Momentum Onion

September 11, 2019

Due to the recent outsized factor moves in the recent week, we are releasing a Factor Spotlight Special Flash Report. Although the S&P 500 remains near all-time highs, we will examine what is lurking below the surface and what everyone talking about—-- the fallout of Momentum.

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Omer Cedar
Omer Cedar

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

Growth & Momentum Are Now Reverting

June 16, 2019

Last week, we discussed how Growth and Momentum are both overbought in our normalized return framework, and urged caution to managers who are long exposure to those factors (most notably Tech investors). This week, we have an update on how these factors have trended (spoiler alert: Momentum is now reverting) and see what we can learn from historical instances when Growth and...

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Omer Cedar
Omer Cedar

Tech Investors Take Note: Growth and Momentum Are Overbought

June 09, 2019

Today, we'll be taking a break from examining current trade entanglements through the lens of the Exchange Rate Sensitivity factor. Instead we'll check in on Growth and Medium-Term Momentum, two factors that have seen rapid gains in our normalized return framework over the past few weeks. They've both recently been flagged as Overbought and Extremely Overbought, respectively, and...

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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

Offensive Recovery Finale — The Model Portfolio

February 24, 2019
Following up on last week's discussion, we conclude our multi-part series on positioning for a potential market recovery, by building and analyzing a model portfolio that internalizes the insights we've gained from prior recoveries. Through the construction of a model portfolio we've uncovered an intuitive insight applicable to the recent recovery so please make sure to read the section...
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Omer Cedar
Omer Cedar

Contemplating a Recovery: adding the idiosyncratic volatility factor to the mix

February 17, 2019

I hope today's post finds you well and you are enjoying your Presidents' Day weekend. In last week’s Factor Spotlight, we sought to associate changes in fundamental factors—growth and profitability—with net momentum, and found that 77% of the time growth and profitability moved in the same direction, so did net momentum. 

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Omer Cedar
Omer Cedar

Offense or Defense? Positioning for a Possible Recovery - Part 2

February 10, 2019
Today we continue our analysis of early stage market rebounds with the goal of helping uncover potential offensive and defensive sector strategies that may be useful for investors in the current market. Last week we tried to find commonalities in net momentum across sectors during recovery periods. The idea being that defensive sectors tend to underperform and more cyclical or “growthy”...
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Omer Cedar
Omer Cedar