Omega Point Blog

Reflections On Quantamental Investing

Profitability

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...

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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...

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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

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.

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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.

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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.

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Omer Cedar
Omer Cedar

Post Midterms: Quality Back in Demand

November 11, 2018

Before we jump into this week's Factor Spotlight, I wanted to let you know that I will be at Learn2Quant New York on Friday, November 16, where I will be leading a session on "How to be Factor Aware" alongside Axioma's Melissa Brown. If you're in NYC this upcoming week, we hope you can attend.

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Omer Cedar
Omer Cedar

Short Squeeze or Sustainable Rebound

November 04, 2018

This week's market rally has resulted in pundits pointing towards a recovery due to better-than-expected corporate earnings and a softening of the trade war between the US and China. In our conversations with clients, we're hearing a lot of speculation about whether or not this is a legitimate bounce in the market or simply a short squeeze in the wake of the broad selloff of the past several...

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Omer Cedar
Omer Cedar

Profitability is Inflecting

September 28, 2018

In the past couple of months, we've highlighted how Profitability (a component of Quality), has been Oversold relative to its long-term trend. 

As a reminder, Profitability is a combination of return-on-equity, return-on-assets, cash flow to assets, cash flow to income, gross margin, and sales-to-assets.

Over time, the risk premia for Profitability has been strongly positive (see below), but...

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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