Omega Point Blog

Reflections On Quantamental Investing

Value

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

Characteristics of the Recent Selloff

October 28, 2018

Over the past couple of weeks, we've discussed the factor rotation we observed during the initial market selloff, and how you can create a defensive basket of ETFs to maximize exposure to the defensive factors (Value, Profitability) and minimize exposure to the cyclical factors (Volatility, Market Sensitivity).

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Omer Cedar
Omer Cedar

Revisiting Oil & Gas, and Value

June 08, 2018

In our May 11th Factor Spotlight, we highlighted that the Oil & Gas sector and Oil commodity factors were being flagged as Overbought in both our US and Macro models. We also discussed the potential readthrough to the Value factor, which was the most correlated factor to Oil & Gas at the time. 

In the intervening weeks, these factors have seen a sharp selloff on a cumulative and normalized...

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Omer Cedar
Omer Cedar

Oil, Gas, & Energy

May 11, 2018

Our Factor Profile tool is currently flagging the Oil & Gas sector in both our equity and macro models as exhibiting "Overbought" conditions. While interesting by itself, there are also implications for other factors that are important to understand and follow. Let's dig in:

 Oil, Gas, & Consumables

  • In the US market, the Oil, Gas, & Consumable Fuels sector factor has seen a strong rally, up 
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Omer Cedar
Omer Cedar