Omega Point Blog

Profitability

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

Factor Spotlight: Earnings Yield & Profitability

August 09, 2018

Hope your week is going well. Today, I wanted to highlight recent trends in the two key components of what is referred to as "Quality" - the Earnings Yield and Profitability factors.Our Factor Profile tool is currently indicating that Earnings Yield and Profitability are reaching simultaneous inflection points in our US model. As I'll show below, historically both of these factors have very...

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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

Profitability is at an inflection point

April 26, 2018

I wanted to highlight Quality as a factor that is hitting an inflection in both the US and Global markets. In our platform, Quality = Profitability, and is defined as a combination of return-on-equity, return-on-assets, cash flow to assets, cash flow to income, gross margin, and sales-to-assets.

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Omer Cedar
Omer Cedar