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...
We’ve spent the past couple of weeks focusing on Momentum and Growth (both of which are continuing to revert to the mean on a normalized basis). Today, we’re going to pull back the lens and examine factor trends in our US and Worldwide models, in order to identify some other themes that are playing out right now.
Over the past couple of weeks, we've examined Growth and Profitability to see the impact that 1Q earnings have had within the Russell 1000. We've now incorporated two more fundamental factors in our analysis - Value and Earnings Yield - to identify 21 companies that have had positive or negative fundamental changes in the past month that the market hasn't priced in yet. These names...
Over the past two weeks, we've explored global trends in Growth and Value to determine the countries that have had the most (and least) exposure to those factors. Today, using our new
Security Search feature, we're going to find the best positioned Growth and Value stocks across the worldwide model (70k+ stocks).
