Omega Point Blog | Momentum

Hedging Momentum 2021

Momentum: One Size Does Not Fit All (Sectors)

May 16, 2021

If you want to hedge momentum, just go short Info-Tech and long Energy, correct?

Actually, not so fast.

This strategy may have been somewhat effective in prior markets; however in today’s market, the efficacy of this type of hedging strategy has been rapidly unraveling.

We can see this clearly by looking at the Momentum exposure, using the Wolfe Research QES US Broad risk model of QQQ vs....

Alyx Flournoy, CFA

Growth Value Momentum 2020

The Factors Leading to Last Week's Momentum Shock

November 15, 2020

Before we jump in this week, I wanted to let you know that a recording of my presentation on Evaluating Alpha Signals at last month’s Wolfe Research Global Quantitative & Macro Investment Conference has been posted. Please don’t hesitate to reach out if you have any questions or comments. Now on to this week’s topic...

Portfolios were rocked this past week as the world heard of news...

Alyx Flournoy, CFA

Momentum 2020 MSCI Barra Mean Reversion

Combining Mean Reversion with Fundamental Investing

May 24, 2020

We continue last week’s introduction to the Reversal factors found in the Barra US Total Market Equity Trading Model and discuss how these factors can be useful in helping guide trading. Although the risk model has 3 flavors of reversion, we will focus on the two most relevant to fundamentally oriented and longer horizon investors: Short-Term Reversal (“STR”) and Long-Term Reversal...

Chris Martin

Momentum 2020 MSCI Barra Mean Reversion

Expanding our Mean Reversion Palette

May 17, 2020

We continue our discussion from last week on the topic of mean reversion, this time through the lens of the MSCI Barra US Total Market Equity Trading Model.Before we do that though, we wanted to revisit our analysis on Antero Midstream, our mean reversion pick from last week. As you can see below, Antero has seen a fairly strong selloff MTD, and has now fallen from a +3.5 exposure (top...

Chris Martin

Momentum 2020

The Markets Are Up But We’re Not That Excited...Time For Mean Reversion?

May 10, 2020

With the markets continuing to shrug off negative unemployment news and health uncertainty of re-opening this month, we wanted to take this opportunity to introduce the family of mean reversion factors. Many of you are feeling tense about the recent rally, and are possibly looking to take defensive actions. Mean reversion factors can help highlight companies who’s recent returns...

Chris Martin

Momentum 2019

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.

Omer Cedar

Momentum 2019

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...

Omer Cedar

Momentum 2019

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.

Omer Cedar

Growth Value Profitability Earnings Yield Momentum Dividend Yield Market Sensitivity 2019 Global

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.

Omer Cedar

Growth Momentum 2019

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...

Omer Cedar