Omega Point Blog

Reflections On Quantamental Investing

Decomposing the Size Factor

October 07, 2018

Oct 7, 2018

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Omer Cedar
Omer Cedar

Factor Spotlight: Size

August 02, 2018

This week we'll be highlighting Size factor, which our Factor Profile tool is currently flagging as "Extremely Overbought" in our global model, and "Overbought" in our US model.As a reminder, Size is defined as the natural logarithm of market cap for each company. A negative return for Size means that smaller cap stocks (those with negative exposure to the Size factor) fared better.On March...

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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

Med-Term Momentum & Size Updates

April 13, 2018

Happy Friday. Here are some updates on two of the recent factor trends that we've been discussing in the context of our Factor Profile tool. 

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Omer Cedar
Omer Cedar

Size Factor update

April 04, 2018

I wanted to quickly follow up on our recent discussion of the Size factor, as it appears to have hit an inflection point early last week.

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Omer Cedar
Omer Cedar

Size Factor is Extremely Oversold

March 23, 2018

Continuing with our Factor Spotlight series, I wanted to highlight Size as another factor currently sending a strong signal in our Factor Profile.

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Omer Cedar
Omer Cedar