Last week, we highlighted that the growth vs value spread has recently hit a high point since 2005, which led us to dive deeper into what might be causing this trend. We used the J.P. Morgan iDex U.S. Growth Index and J.P. Morgan iDex U.S. Value Index, which are much purer representations of growth and value than standard style indices, and found that the beta profile of these...
As we near the end of a painful year that will also surely rank as among the most bizarre ever for the investment community, we might all be wondering what else 2020 can possibly throw at us? Well, don’t hold your breaths too long given that soon we may be experiencing a growth vs. value rotation within the mix, as we are beginning to see the characteristics of growth and value hit...
Before we jump in this week, I wanted to let you know that a recording of my presentation on Evaluating Alpha Signals at last month’s Wolfe Research Global Quantitative & Macro Investment Conference has been posted. Please don’t hesitate to reach out if you have any questions or comments. Now on to this week’s topic...
Portfolios were rocked this past week as the world heard of news...
Before we kick off this week’s issue, we encourage you to check out Newfound Research’s Flirting with Models podcast which recently featured Omega Point’s Omer Cedar in which he discusses: how quantitative investors have impacted markets, how fundamental managers should think about factors, the low-hanging fruit for optimization, and surprising lessons he has learned in evaluating...
Anyone paying attention to the markets over the past several years is well aware of the tough times Value investors have faced, especially compared to their Growth-focused counterparts. Some have argued that Value’s downfall has been driven by the new normal of low interest rates and flattening / inversions of the yield curve. However, recent research by AQR debunks this theory and...
Today, we’re going to wrap up our series on Value in the real-life context of a massively volatile and beaten down market. We’d like to start by noting that after the turbulence of the past few weeks, our Global Market factor is flagged as “Extremely Oversold” at -2.9 standard deviations below the mean:
This weekly blog, Factor Spotlight, looks to bringissues to our readership that help to give them an edge – whether it is through fresh insights in the market or new ways to use our Omega Point tool to analyze and manage their portfolios.Timeliness is also key. Last week we initiated a multi-part analysis into Value, observing how the factor has performed since 1997 and...
This weekly blog, Factor Spotlight, looks to bringissues to our readership that help to give them an edge – whether it is through fresh insights in the market or new ways to use our Omega Point tool to analyze and manage their portfolios. Timeliness is also key. We focused on Geopolitical Risk for the last three issues — including the ever-evolving coronavirus story that has...
The end of the year is good a time for reflection and analysis, and many investors take the opportunity to use the typically less hectic market period between mid-December and mid-January to examine their process, figure out what’s worked over the past year, and think about improvements for the next year. A key candidate for annual adjustment is the definition of the investment...
