Omega Point Blog

Reflections On Quantamental Investing

Momentum

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

Profitability is closer to an inflection point

December 16, 2018

I hope all is well as we head into year-end and the holiday season. Before we dive in this week, I’m thrilled to announce that you can now view current and past issues of Factor Spotlight directly on this blog. You can also filter articles based on keywords to more quickly find specific topics you would like to explore further.

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Omer Cedar
Omer Cedar

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...

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Omer Cedar
Omer Cedar

Factor Spotlight: Profitability

September 14, 2018

Happy Friday. This week we're going to discuss how Profitability (a component of Quality) is Oversold in both our US and Global models, and provide an update on Medium-Term Momentum (which we had flagged as Overbought last week).

Profitability If you recall our Factor Spotlight note on 4/26/18, we introduced Profitability as a key proxy for Quality. Profitability is a combination of...

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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...

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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...
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Omer Cedar
Omer Cedar

Medium Term Momentum, Anew

July 12, 2018

I hope you've been enjoying the summer so far.

In early March, we highlighted Medium-Term Momentum as a factor that was overbought in the market. In the intervening time, we've seen the factor sell off on both a cumulative and normalized basis, stage a brief rally, and then sell off some more. Today, we're now recognizing it as an Oversold factor.

As you can see, after rallying in the month...

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Omer Cedar
Omer Cedar

Long Term factor trends

May 18, 2018

We've received some great questions about our overbought/oversold indicators (please keep them coming!). One that I wanted to discuss this week is: "Why is it that when a factor is `Oversold`, we don't always see a major decrease in the return for that factor as it reverts?" In other words, sometimes we highlight a factor as Oversold when in reality its cumulative returns are not actually...

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Omer Cedar
Omer Cedar

Profitability, Momentum, & Size

May 04, 2018

Last week we highlighted Profitability (Quality) as a factor that was reaching an inflection point in both the US and Global markets. I wanted to provide a quick update there, as well as for the Momentum and Size factors that we've been tracking over the past couple of months.

Profitability (Global Market) 

 

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Omer Cedar
Omer Cedar

Momentum & Sector Correlation

April 20, 2018

Over the past several weeks, we've watched normalized factor return for Medium-Term Momentum revert from a peak of +1.97 standard deviations above the mean to -0.81 SD below the mean on April 19th, with a curve that appears to be gradually flattening. 

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Omer Cedar
Omer Cedar