Omega Point Blog

Profitability

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...
Read More
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. 

Read More
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”...
Read More
Omer Cedar
Omer Cedar

Profitability Lags While Beta & Volatility See Continued Strength

January 20, 2019

This week saw strong market performance amid a cascade of political and economic headlines. Here's an update on the factor story that we continue to find of most vital importance - the interplay between Volatility, Market Sensitivity, and Profitability as it relates to a sustained market recovery.US Market 

 

Our US Market factor (99% correlated to the S&P 500) continued its upwards...

Read More
Omer Cedar
Omer Cedar

Volatility & Beta Up Big While Profitability Slowly Recovers

January 13, 2019

This week brought with it some mixed news, between the potential jobs impact stemming from the government shutdown, increased optimism over US-China trade, and recent comments from the Fed about the need for “patience”. With regard to factors, we're seeing signals that indicate that we're in the midst of a return to a “risk-on” environment, with Volatility and Market Sensitivity both...

Read More
Omer Cedar
Omer Cedar

Factors Have Rallied Amid Macro Uncertainty

January 06, 2019

I hope you enjoyed the holidays and year-end festivities. Today, we'll provide a factor update spanning the past two weeks, a period characterized by sustained choppiness in the market and mixed economic headlines. Just this week, AAPL dramatically lowered 1Q revenue guidance, citing “economic deceleration,” particularly in China. and the ISM Manufacturing Index's significant December put...

Read More
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.

Read More
Omer Cedar
Omer Cedar

Profitability nearing a Bottom

December 09, 2018

After a tumultuous four-day trading week, we wanted to quickly check in on some factors that we've been tracking, and then examine why Profitability is being flagged as “Extremely Oversold,” and compare the current period to previous times of weakness for that factor.

Read More
Omer Cedar
Omer Cedar

Value vs Earnings Yield

December 02, 2018

I hope those of you in the US enjoyed Thanksgiving weekend with your families while we took a brief hiatus from Factor Spotlight. This week, we'll provide an update on some factors we've been tracking for the past few weeks, as well as dig into an interesting phenomenon that we're observing in the relationship between Earnings Yield and Value.

Read More
Omer Cedar
Omer Cedar

Risk-Off is back in Demand

November 18, 2018

Thanks to all who braved the weather to attend the Learn2Quant conference in New York on Friday. For those unable to make it, I'll share the slides from my presentation on "How to be Factor Aware” once they're available.

Read More
Omer Cedar
Omer Cedar