Omega Point Blog

Surprise Metric

A Market Flight to Quality

May 15, 2022

Please see our Market Summary and Omega Point's Top Surprise Factors of the week below.The Surprise Metrics measure each factor's return divided by its predicted standard deviation. On a trailing one-week basis and since the invasion on Feb 24, we continue to see multiple standard deviation moves across a broad number of factors that continue to shift each week and are a unique indicator of the...

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Kevin Wahlberg
Kevin Wahlberg

The Fed Sparks Panic in the Equity Markets

May 08, 2022

Please see our Market Summary and Omega Point's Top Surprise Factors of the week below.

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Kevin Wahlberg
Kevin Wahlberg

Investors Signal a Risk-Off Environment

May 01, 2022

Please see our Market Summary and Omega Point's Top Surprise Factors of the week below.

The Surprise Metrics measure each factor's return divided by its predicted standard deviation. On a trailing one-week basis and since the invasion on Feb 24, we continue to see multiple standard deviation moves across a broad number of factors that continue to shift each week and are a unique indicator of the...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Macro Holds Onto Its Grip Over Global Equity Markets

April 24, 2022

Please see below for our Market Summary and Omega Point’s Top Surprise Factors of the week.

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Kevin Wahlberg
Kevin Wahlberg

Markets Feel Supply Chain Woes and Commodity Price Pressures

April 17, 2022

Please see below for our Market Summary and Omega Point’s Top Surprise Factors of the week.

The Surprise Metrics measure each factor's return divided by its predicted standard deviation. On a trailing one-week basis and since the invasion on Feb 24, we continue to see multiple standard deviation moves across a broad number of factors that continue to shift each week and are a unique indicator of...

Read More
Alyx Flournoy, CFA
Alyx Flournoy, CFA

Rolling Out Our Weekly Surprise Metrics

April 10, 2022

Today marks our inaugural condensed version of Factor Spotlight, as I mentioned in our last issue. Over the next few weeks, we will send out this version as we hone Factor Spotlight to leverage the hundreds of style, sector, macro, and other factors, from a wide variety of leading providers on the Omega Point ecosystem available to all our customers. We anticipate that the new Factor Spotlight...

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Omer Cedar
Omer Cedar

Macro Factors are Driving Market Surprise

March 27, 2022

Markets exhibited more strange behavior this week as the war in Ukraine raged on, and the macroeconomic backdrop continued to drive investor sentiment. So this week, we continue to leverage our Surprise Indices to highlight market reaction to current global events. We’ll also extend our analysis to illustrate a practical example of using our Surprise Index framework, combined with additional...

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Your Exposure to the New Economic Order - Part III

March 20, 2022

Since the Russian invasion of Ukraine on February 24th, we have leveraged our access to over 150 style and 400 sector factors to measure the market’s reaction. In our last two editions of Factor Spotlight, we introduced our Surprise Metric and our Surprise Characteristics Indices to quantify the significance of factor movements in the market and the sensitivity of assets to this new economic...

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Kevin Wahlberg
Kevin Wahlberg

Your Exposure to the New Economic Order - Part II

March 13, 2022

For the last two weeks, we have leveraged our access to over 150 style and 400 sector factors to measure the market reaction to Russia’s invasion of Ukraine. This week, we’ll be providing an update on the significant factor trends we see through the lens of our Surprise Metric.We will also introduce our Surprise Characteristics Indices, which will help quantify the reaction trade's risk and...

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Kevin Wahlberg
Kevin Wahlberg